Just opened it. I see what you mean. That's a very bizarre bug I've not run into. But then, I haven't used multiple palettes before either. I'm not sure anyone has yet. Try using a different slot of the palette if they're not filled with colours already. Very bizarre.
Have you tried testing the game? Or opening the pic in SCI Studio's pic editor? It might just be a visual glitch within SCI Companion itself.
EDIT: Just tried it in SCI Studio, same result. Although, SCI Studio has a different method of selecting colours. Instead of showing only the currently selected palette, it shows all four palettes and you can choose a colour from any of them no matter what palette is being used. And reading the draw command it does say "Set Visual: 0,28". Meaning, palette 0, colour slot 28. What's strange is all the other commands have that as well. But for some reason for this command it's interpreting it as a hard select on the 0 palette instead of a dynamic set on whatever the currently selected palette is. I'm not sure how to make it react differently. A bizarre bug.
Upon further experimenting, by selecting draw events of other colours and swapping the palettes while previewing the entire picture, I discovered that the draw events I had selected suddenly started being "hard selected" as well and persisted across palettes. Very strange. It's almost like you have to draw the entire picture in one palette without selecting another palette. Then change the alternate palettes afterwards without drawing or selecting draw events. It almost seems like a function is assumed but was not provided and interface for in the editor, that is, to persists "hard selections" of colours in a palette or not. Unless that function IS provided and I'm being stupid...