I have the English version of the game. I just changed my settings file to "4" to make the language German and started a new game; all the game text (buttons, events, labels, messages, units, everything...) is in German text. Then I exited and reset my language to "0" and now it is all back to English text.
Could it be possible that the German version you have has no English translations? For example, look in HOI2\config\text.csv file; there is a row for the text "cancel", and it looks like this:
CANCEL;Cancel;Annuler;Annulla;Cancelar;Abbrechen;Anuluj;;;;;X
That's six different translations of the word cancel. Does your file have something like that many translations?
If not, then perhaps the German version does not support other languages.
If yes, then possibly you typed an "O" instead of a "0", or made additional unintended changes to the settings file before you saved it. Did you use notepad.exe to change it or something else?