Alright. Apparently, there is some faulty logic in AGS, which results in following: if you are using TextWindow type of GUI, it resets highlight color to TextWindow's own TextColor property, and if it matches player's speaking color, then to default magenta (color 13).
It's hard to make much sense in what is going on there (this was one of the strangest parts in AGS).
(Also, all this time I did not know that default dialog options use Character.SpeechColor as text color...)
So, I think you need to setup TextWindow's TextColor instead of the game.dialog_options_highlight_color.
But I agree, this should be fixed, because it makes no sense imo.
EDIT: just realized, this dialog_options_highlight_color was added by Gurok in earlier updates, but it seems it does not get used with TextWindow gui for some weird reason. Maybe we just forgot to test that.