This did not happen at Yeshua's first coming but still awaits future fulfillment. Here Yeshua on throne ruling Messianic Kingdom is tied to the covenant G-d is making with Israel. They will never leave the land again. Until these things happen, the new covenant cannot be in effect. For finding fault with them, he saith, Behold, the days come, saith the Lord, when I will make a new covenant with the house of Israel and with the house of Judah.
Nothing here indicates the new covenant is already in effect.
The fault with the first covenant is that the people strayed from it. So G-d will renew the first covenant by writing Torah on their hearts this time and not on tablets. In that he saith, A new covenant, he hath made the first old. Now that which decayeth and waxeth old is ready to vanish away. And it is easier for heaven and earth to pass, than one tittle of the law to fail.