Need Help w/Preview, doesn't seem to work right

Please bear with me as I'm lost on the terminology here. But I have a MacBook Pro with macOS Mojave. There's a program called Preview which allows me to view documents, images etc. I can also, to an extent, edit or "mark up" these files.

But something doesn't seem to be working right. When I add something in color it saves, but the color is removed. For example, a list of names in which I drew a red rectangle that's transparent in the center around one specific name. Once saved the red rectangle turns gray scale, which in my case, defeats the purpose of doing it.

How do I do this and get it to save the image with the color rather than replaced the color with gray?

Thanks in advance to anyone who has any ideas!