Hrm. If you used Export All Options, it should have been in there. When you go to Tools > Options > Appearance > Colors, do you see the scheme listed there? I ask because it might have been exported, but not applied.
Would you mind sending me your export zip file? You can send it to sgaskins (at) slickedit (dot) com. If that doesn't work, we'll set up an FTP for you.