Hi, @hempalaya. Welcome to the Community and thanks for reaching out about this! It's a great question.
Shipping rates remaining in the currency they were created in after switching your store currency, is expected behaviour. Therefore, to update your shipping rates to reflect your new currency, you’ll need to delete your current shipping rates, and manually add them back. The newly added rates will reflect the new store currency.
Changing the currency on your account has some other implications to consider as well: reporting, apps, gift cards and pricing. Therefore, I recommend taking a look at my response in this Community thread for further explanation of these, and how to adjust for them.
Hope this helps! If you have any other questions or concerns about it, just let me know.