Exactly this configuration should work correctly, not needed Notification B4 by color, only underline is enough.
I believe You not got correctly what is "Worked one in JTDX, in Your configuration all callsigns that are not New DXCC or New DXCC by band are "B4", sure if You are done a lot of QSO-s most of callsigns are B4.
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If You have Autoseq +4 (6/7) enabled and DX Call is empty, then You can monitor which callsign will be selected by autoselect +4, even You are not working.