Jan,
I believe the graphic you are referring to is directly from EA - that is, the shape is stored within EA in the same way as is that for an Actor (for example).
This is roughly analogous to the way EA allows you to assign a user-supplied graphic to a stereotype, with the exception that here we don't get to change, or even access, the graphic. [Another example of this sort of thing is the 'grid' decoration on a Table element (a 'pre-stereotyped' element from the Class toolbar). This is drawn directly by EA's internal engine; we (poor, sad) users cannot affect this, nor can we apply it to our own elements.
When you change the representation of this element through the Stereotypes dialog, no matter which of the mechanisms you choose, you cause EA to forego its built-in graphic for this element, and draw it through the 'normal' rules, and apply your changes. Thus you get what you asked for, but at the cost of what you started with.
It may be that your only option is to attempt to duplicate the original functionality with Shape Scripts, then make the modifications you want. This would entail much work, and not a bit of trial and error. Sometimes it will be just error, when you reach the current limits of these scripts.
At this time you cannot import a graphic into a shape script, for either the main shape or a decoration - as you might want to for the gearwheel. My understanding is that this is being considered for inclusion, and that updates to shape scripts and their documentation are slated for version 6.5. Beyond that I have no information whatsoever.
HTH,
David