The 1st related list shows Incidents where field Change Request is filled in with a reference to the current Change Request - so it shows up in the related list.

The 2nd related list shows Change Requests where field Parent is filled in with a reference to the current incident. By updating reference Change Request on an Incident, does not automatically update the same Change Request by setting field Parent to refer to the incident Involved - so nothing show up in the related list.

In other words the two related lists show their data based on different data and updating an Incident to point to a Change Request (through field Change Request) does not automatically update the Change Request to point to the same Incident (through field Change Request).

In other words things are working fine, as expected.

If you want to show the list of Change Requests as Incident related list, displaying those Change Request that are referenced by an Incident through the Change Request field, is kinda' pointless,  the same info can be had on the form (perhaps is already there) by showing the Change Request field.