The reason this is problematic is that your PIN is encoded into the chip in your card. The first thing a point-of-sale or ATM will do after you enter your card is ask for the PIN and check it against the PIN stored on the card.
If you changed your PIN in your app 5 minutes earlier, the new PIN you enter will not match the PIN on your card, and the terminal will decline the transaction.
Confusingly, the terminal will actually then connect via MasterCard to Mondo to inform us of the incorrect PIN entry. At this point, Mondo can send the new PIN back down to the card, where it’s encoded onto the chip. So if you try your new PIN again, it will now work.
Basically, users will always get one declined transaction after they change the PIN in their app. Not a great user experience. Changing the PIN at an ATM can immediately write the new PIN onto the card’s chip, avoiding this problem.