I tried again and this time it worked. It has to be done in the following order:
1. Press Color button in Wallpaper window (Pick Color window pops up).
2. Untick Logo in Wallpaper window.
3. Press Done in Pick Color window.
If step 2 is done before step 1 then step 2 is undone.
To me the difference between Set and Done is quite unclear. It's also quite confusing with two sets of Set/Done buttons (one in Wallpaper and one in Pick Color) but only one Logo tick box and one Cancel button.