That's because the player sets his gravity back to normal every step (here's a picture from Seph's Engine, but it works the same in all engines):
To fix it, you need to change that line in the step event to
gravity=player_gravity
and add the following to the create event:
player_gravity=0.4
Then you can edit your code to be
with(player){player_gravity = 0.2;}
And it should work! (Remember to reset player_gravity=0.4 when you're done with it, on game load or room start or game reset etc, or else people can keep their different gravities in places you wouldn't expect!)