If you open the drop-down menus available for each kind of font used on a Math object (variables, functions, numbers, text...) you will only find the name of the currently used font.
In order to change the font used, you need to select the category you need to change with the Modify button, as shown on the image.
Only then you will see the “font picker menu” that allows you to select the font and its attributes (italic and/or bold)
After the modifications, do not forget to press the Default button! Otherwise, the changes will apply to the current object only.
The menu you get with Format -> Font Size is simpler and needs no explanation.
Remember to press the Default button!
NOTES:
- This configuration will not change old objects, you will need to modify them one by one.
- Math objects are not style based, and because of this if you use different fonts for different documents you will need to change everything any time you switch between them.