First of all, it is not allowed for the customer to modify the IMEI of the module. Quectel cannot guarantee that it works if modify the IMEI or after the IMEI.
Second, the AT+EGMR is the 3GPP standard AT command, I guess the new_IMEI_number you set is illeagal.
Quectel would not provide any command to modify the IMEI.
Actually the command you tried should be able to. Does it shows CME error? Please check the IMEI you set.
On my device, the AT command is successful only when the modem interface is in a certain condition - and the interface is not up, or not fully up, while my particular device is also connected to WAN via Ethernet. The solution was to disconnect the WAN Ethernet cable and have the modem up and connected while entering the AT command.