I had a few more tries without success. Uninstalled NCP and reinstalled, still nothing. Then I installed an earlier version I had lying around, NCP 4.5.7. Success! Now I could specify the colour of marked items and see it change on the screen.
So something has happened between 4.5.7 and 4.6.6 that has (at least on my installation, Windows 10) stopped the colouring from working for Marked Notes.
The only other thing I've tried colouring in 4.6.6 is the List Pane, but that works OK.
One thing that has changed, at least at the interface level, between 4.5.7 and 4.6.6 is that in the earlier version there is no check box to be ticked, when you change the colour.
Miro, do you have an archive of earlier versions? I'd be happy to work backwards from 4.6.6 and see what is the latest version where this problem does not arise.