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When using concatenated labels, my custom data colors revert to default. Also, the area where the data colors' text strings (under the "show all" slider) all lose their specificity from being expanded all down and revert to the next level heirarchy names. Changing colors immediately slides back to the default, but if you de-concatenate, this changed color shows back up.
This is within the Nov 2016 version of PowerBi Desktop (2.41.4581.361 64-bit)
I reproduced same issue as yours. When we swith "Concatenated labels" into "Off", the defined data bar colors will revert to default.
We have reported this issue internally.
Rergards,