Hi, did you mean you wan to change the html tag for the article title / link? The Header Tag setting is for the module header, not for the article headline btw.
To change title tag you can do a template override (please follow this video if you don't know how to create a template override) :
then if you use default theme find this code
<h4 class="mfp_default_title">
change h4 with h3 or anything you want
