I got married 2yrs ago &file jointly. on my paycheck I am claiming 0 (which is fine) but marriage status is "single". Should I change it so I'm getting the proper amount?

Hi! I got married two years ago and file jointly with my husband. I noticed on my paycheck though it says I am claiming 0 (which is fine) but my marriage status is "single" rather than married. My work says it doesn't have any affect on how much they pay me but a friend who got married and divorced noticed her paycheck go up and then down again and that was the only thing she changed with her info. 


Do I need to change this so I'm getting the proper amount? It should not change how much I'm getting back at the end of the year right? 


Ps: when we got married I noticed my husbands refund portion go up but mine remained the same. Is this why?