This is the normal behavior, as categories and colours are designed to organize and find quickly the desired content. Once you select a message, the default view is the one showed. ( And the default view should not be changed to achieve that you would like ).
I tested it and found a workaround:
Click on "File" - "Options" - "Advanced" - "Reading Pane..." - And uncheck both options that are marking items as read, ( see screenshot below ).
Once done, if you categorize new received messages with your custom color category, that will not change if you select the message. And if you would like to have it for the olders categorized messages, you'll need to mark them as "unread" ones.
But, note that, with this workaround, all messages will keed the original format, ( unread, for example ), until you open it, ( double click ).