Same thing happened to me. Maybe I'll read on Android 4.2 and look for a solution.
Also, after failing at changing wlan0 I tried another device on the list : wl0.1 because I thought it was for wifi tether. It didn't change the mac however.
yeah wrong mac idd :/
however when i do that in terminal:
busybox ifconfig wlan0 hw ether 40:53:50:4F:4F:46
it shows the new mac but then wifi tether isn't working anymore :/
guys I had this problem on the 4.3 stock. When I switched to cm 10.1.2 nightly (last nights' to be exact) I do not have that problem anymore. Wifi tether works even after I change the mac but that is because the mac is not really changed. and if i stop tethering and restart it again it creates another random mac.