You have to restart X.

When you selected KDE from the menu, Fedora creates a file in your home dir called .Xclients-default. (you could always just type 'switchdesk kde' and eliminate the extra click)

This file gets loaded by .xinitrc at start up and that's how it knows what WM/DE to execute. You can also go through the trouble of editing the fedora system default (/etc/sysconfig/desktop) but for that to work you have to make sure you remove Xclients-default because it'll get loaded first. If you ever want to go back to gnome just type 'switchdesk gnome' or remove .Xclients-default (it will fall back on /etc/sysconfig/desktop assuming you haven't changed it).