Sorry about that, it's a limit of using a 256-color window - all menus and cursors have to be drawn with the colors from your picture
If the menus don't have nice colors with your current palette (after a reduce for example), you can press "Backspace" in the palette screen, it will automatically choose 4 unused slots at the end of palette, and set them to default GUI colors.
There's no option in Grafx2 to choose less than 256 colors, but you can at least customize the small palette at the right of the menu so it shows less colors at a time, the boxes will be bigger for easier selection : Right-click the Palette icon, and then you can choose for example 4 columns and 4 lines to display 16 colors at a time.