Sometimes changing one colour will change one of the other ones too. Try to pick your Daytime colour (usually daylight), then Sunset, then Bedtime - in that order. When you're setting the Bedtime colour, be careful not to set it higher than the Sunset colour, even for a moment, because that will change the Sunset colour. It can be frustrating. Check all the colours again before you click Done. Make sure your location and wake-up time is set appropriately.
There's a lot of help in the Quickstart Guide.