Selected player colors not kept on next boot up.

In a nutshell, when I try setting my color to something like Cyan and then close the game, the next time I boot up it goes to Steel Blue.
I haven't tested it with any other colors and yes, this is present in 2.1.4.

By any chance are you loading up SRB2 with the old SRB2 Net Launcher? That would probably clear up why this is happening, the colors list there is outdated.

Yes, the thing is I always play SRB2 in Windowed mode at a resolution that renders all the HUD sprites exactly 2x their normal size (640x400) so they don't look garbled. And I can't seem to be able to access the "3d Options" menu, which includes Windowed mode unless I play in OpenGL, which cannot be toggled within the game itself to my knowledge.