In the how do I FAQ there is an example named "Simulating gravity affected orbits between celestial objects" (link) that sounds like what you are trying to achieve.
You should check it out.
For your issue, are you sure you haven't added an extra behavior to your object like "platform" alongside "physics" ?
Are you sure you are setting the world gravity in a "On start of layout" event, or an event that is to be executed right away, and not some event awaiting for a user action or something ?
To make sure, consider posting your capx so we can check it out further.