You mean you don't see the colors at all? Not in the message header itself either?
Which mail account type are you using?
Note that IMAP only has limited support for Categories; Categories and IMAP accounts - MSOutlook.info
When you select Categories-> All Categories, are all your categories listed there and can you assign it a color?
That Format Columns shows the Format as "Text" is confusing but is the correct setting as it will show the label of the Color Category as well when you are in a List View (in the Message List all message info is shown on a single line instead of 2 or more).
If your Categories have colors assigned to them in All Categories, you can try resetting your View;
- Classix Ribbon
View-> Reset View
- Simplified Ribbon
View-> Current View-> Reset View