I was mistaken - the colours are OK, but the preview window is arranged such that the colour isn't really visible. I've taken a screenshot of my normal SE (original.jpg) and SE with a new config then the exported options imported. I ran a new export after removing vusrmacs.e as you suggested, in case it was screwing things up.
You can see that the preview window doesn't have the divider set correctly, and that the left toolbar thingy (can't remember the name!) has a bunch of toolbars that shouldn't be there. The main toolbar across the file tabs is incorrect (as in wrong toolbar - mine is a custom one), and the icons are the wrong size.
A quick check indicates that the debugger is set to the SE default, whereas my normal one has a gdb built for remote debug of a PPC system. Some debugging options are different ("Allow editing of source files during debugging").
F1 help index file didn't make it across. Not sure about this one: on the one hand an import on a different system may have different compilers and stuff, but on the other the user may use this import/export as a backup. Also, on my completely new system I kept everything where they are on the old system so this kind of thing wouldn't break. (And, actually, I chose to use the method Scott suggested and just copied my config directory across - worked very well.)
One more thing: I've just been stepping through the options on each to compare them, but haven't changed anything. On both, when closing the options dialog with cancel I was prompted to save or discard my changes. It looks like the cause of this prompt is the symbol colouring - when I dropped into that option it was showing "(None)" and I changed that to show my custom setup so I could see how it was set. I think you should be able to do this (check settings of the various schemes) without changing which one gets to be used.