If the files have already been moved (externally), then MC will only change the drive letter as you wish.
Edit: It worked properly only AFTER I dismounted the drive where the copied files originally were. This should be better documented.
"Copy" is not the same as "move". Move means that the files don't exist in the old location after the move.
As said, an easy way to keep the files in the old location too is to temporally rename the base folder outside MC (...or, for example, disconnect an external drive as you did.)
EDIT
Another way to change the library is to use the MPL export/import system. You can export a complete library in the MPL playlist format, edit the resulting XML data with a text editor (e.g. use the editor's find and replace tool for changing a path) and use the edited MPL file for updating library data. I have explained this in detail a couple of times.