I got your settings, thank you. Unfortunately, I wasn't able to reproduce this problem. Can you please try creating a new test project to see if the problem happens there? Do you use any other Visual Studio extensions? It may have an impact on this problem.
After disabling/enabling it looks better. However, custom colors persist under highlights, while Visual Studio resets colors to white under breakpoint and to black under current statement. I like this behavior. Could VA do the same?