How do I change the, "New Mail," alert tone on my iPhone 6? I can change all other alerts and the ringtone, but not the mail.

I just got my iPhone 6 a couple of weeks ago and have been experimenting with different sounds for the various alerts and ringtones, but have been unsuccessful when trying to change the new mail alert tone. No matter which sound I select, it continues to use the, "Aurora," sound that it was using when I got the phone. I can select a different tone from the menu, and it shows up next to the New Mail selection, but Aurora still plays.

What am I doing wrong? Please make the explanation as simple as possible. This is my first smart phone and I'm a not too tech savvy, old guy!