https://bugs.winehq.org/show_bug.cgi?id=48233
--- Comment #6 from ryampolsky@yahoo.com --- It does seem like winecfg has some problems with customizing colors, though.
I went in to fix the shadow color under the Ambiance color scheme, and it let me do it. But at one point, I hit Apply, and my selected colors reverted to black. After that, I was able to set them back to what I wanted.
Anyway, winecfg problems aside, WINE seems to be respecting the colors you set in a theme - once you get them set right.