Thanks, tito, for opening the pull request so I'd know about this. You're right, I wasn't checking to make sure the file existed before trying to set it. I just pushed a fix to GitHub, so PackageControl should pick it up soon. Now I do two things:
1) I check to make sure the file exists before trying to set it,
2) I print a message to the console for either success or failure, in both cases supplying you with the full path to the syntax file so you'll know what it's trying to use
In the case where the syntax is not going to change, nothing will get printed to the console.
Sorry for the bug!