"Check the main JTAlert window Settings, "Applications -> WSJT-X/JTDX" section, are the coloring options enabled?"

Answer: YES, the coloring options are enabled; see the attached screen-capture image. Two of the Three coloring options are enabled.

I remain at a loss.

The only reason left for non coloring of the WSJT-X decodes with JTAlert alert colors is not having the Alerts enabled in JTAlert (see under the "Alerts" menu of the main JTAlert window.

If Alerts not enabled is not the problem, then I will need to examine your JTAlert files. Use the "Help" -> "Contact Support" menu, on the main JTAlert window, to send me your JTAlert files for analysis.

Since you're using ADIF logging, followup the support request with a zipped copy of your adif log file. Send it to me direct via
     VK3AMA.Ham.Apps [at] gmail [dot] com

de Laurie VK3AMA