With MX Pro 126.96.36.199 I'm using Win 10 Version 1909 (OS Build 18363.900) and the Mouse Locator is displaying the colour code OK.
MacEdit.exe and MacExp.exe are currently shown as 'Elevated' in Task Mgr.
If the issue remains in any application, and after rebooting, I think my next step would be to type SFC /scannow into the Run box or at an elevated command prompt, in case any key DLLs have somehow become corrupted.
If your Win 10 version has had a more recent update then perhaps that too is another possible cause.
Failing any success I reckon I'd then re-install MX Pro.