The issue has to do with pseudo elements :link, :visited, :active and :hover (from the page) overriding the jquery styles. The styles for the pseudo elements are given a higher priority than ones for the classes.
Personally I don't have a good solution for this yet. You can edit in some style tags to make your a.:visited a.:hover and a.:active be the correct colors, though that's a right pain when you're using the themeroller.
personally I think the themeroller should take care of this, generating styles that force buttons to show the correct styles even when under those particular pseudo elements.
longer edit: THe styles that you want to add are
a.ui-button:link, a.ui-button:visited ... you want to add these to the first line under interaction stats, so they begin the line that normally has .ui-state-default, .ui-widget-content .ui-state-default, .ui-widget-header .ui-state-default
a.ui-button:hover to the 3rd line, that normally is .ui-state-hover, .ui-widget-content .ui-state-hover, .ui-widget-header .ui-state-hover, .ui-state-focus, .ui-widget-content .ui-state-focus, .ui-widget-header .ui-state-focus
Not sure if this is necessary, but for completeness I added
a.ui-button:active to the 5th line, that normally is .ui-state-active, .ui-widget-content .ui-state-active, .ui-widget-header .ui-state-active
this makes the buttons appear correctly as far as I can tell. But like I said, it's a right pain if you're using the themeroller and allowing multiple themes.