Looks like Groovy plugin is causing color settings to be ignored and not saved. There is also another issue open with JetBrains regarding color problems with the Ruby plugin. These might be closely related. Here's the URL for that:
http://www.jetbrains.net/jira/browse/IDEA-11556
I found that changing the "Matched braces" option for the Java colors and then hitting apply reproduces the bug. This should cause the change to be lost when you scroll back to that option.
Which plugin are you using GroovyJ or JetGroovy?