Yes, I had the Kobra's equipped, initially, and I switched to Sheperds. I also tried it with the Sheperds, and switched back to Kobras. Still no love.
You are changing that same weapon slot, right? For example, if you have the Kobra equipped and use the key combo to enable single wielding, you are then switching out for the other pistol, right?
EDIT:
Also, out of curiosity, does the save your loading already have dual wielding purchased? I'm not sure if I actually tested this on a save that didn't.
Oh, yes, I am using it on one that had dual wielding. I will try, now, with a different save where I only have a single pistol.