How do you change HOST CACHE setting on VM Data Disk?

I'd like to change the host cache setting from None to ReadOnly.  I tried the powershell Set-AzureDataDisk but nothing happens.  When I run the command I get no error and the c: prompt is returned.  Any help much appreciated. 

See below:

PS C:\> Select-AzureSubscription "MySubscripton" | Get-AzureVM "myapp1.cloudapp.net" -name "MyVM" | Set-AzureDataDisk -LUN 2 -HostCaching ReadOnly | Update-AzureVM