That's because your define is not used. It must be defined before the include of "PinChangeInt.h" is done. Within a sketch this is very tricky as the IDE rearranges the defines and includes before the resulting file is fed to the compiler. Easiest way to get desired effect: move code to a separate file (not main file with setup and loop) and make the define and include there because these files are not touched by the IDE before compiling.