Code is ok, just checked.
Sorted columns have a gray background color in HeidiSQL (the darker one on your screenies). When you set both even and odd color in HeidiSQL, you don't see that sorting gray any longer. But if you only set one of both, let's say odd row background, then even rows still get that sorting gray.
My guess is also, you accidentally selected an odd color which is same or very similar to your default background color in your Windows settings (clWindow).
Everything's normal so far. But I think this can lead to real confusion here, we have too many background settings. So, I'll go and remove the sorting gray. Sorted columns still have the arrow indicator in their column header. I think I had introduced the sorting gray once I saw that in my Windows Explorer, which I do not see any longer in Win7's Explorer.