The "Closed Color" just above the Background button sits "on top" of any background settings. So if it is set to 0% transparency it completely overrides any Background settings. Also note I believe you can only adjust the color of the drop down box (the field name's background can't be adjusted).
If it's just the dimension name your trying to colour you could always just put a text box with the required background colour over the top of it (and maybe a text box behind to simulate a coloured border). But I don't know of a way to change the selection background colour.
