This isn’t a bug, just an observation.
I just discovered that if you have the preference set to not color the text of inline annotations, the background gets colored instead. It’s rather snazzy, honestly, and I don’t think it says this anywhere in the manual: my impression just looking at the preference was that color would be stripped entirely. Hidden feature!
Also it means that in order to change the color of annotations when you have this preference set, rather than just calling up the color palette and switching colors as you would otherwise, you need to go via Highlight (so that the background is changed–otherwise you end up coloring the text, but leaving the annotation color the same). So using Highlight in the format bar or going via Format>Highlight>Show Colors will let you switch the annotation color. I don’t think this is mentioned in the manual, but perhaps it should be?