Apostolos, it is using your session, however the default keyspace is set the FIRST time the set_session method is called. Look at this code here here in the cqlengine, connection class. I'm guessing your model doesn't have a keyspace defined and is therefore using the default one.
https://github.com/datastax/python-driver/blob/master/cassandra/cqlengine/connection.py#L85-88
If you are using a different model in different key spaces and are simply trying to toggle the connection class. You can define a default keyspace in your model, that should also work in this specific case.
Your model would need to override this value at the class level.
https://github.com/datastax/python-driver/blob/master/cassandra/cqlengine/models.py#L311
Using the same model across multiple cassandra keyspaces is kind of fighting the way cqlengine is currently implemented. I would recommend you look at dropping down to the base driver and using that if possible in that case.