In order to make this even more confusing, I'll describe how it works under Linux+Wine (too lazy to reboot). :3
When starting the game, as well as when going back to the main menu from another menu, the color is always the same no matter which option is selected. However, when the selection is changed, it changes color depending on which main menu option is selected. This behavior is independent of the locale set.
In any case I don't think it's something to worry about.