This is the default UI behaviour of Windows. If a list control does not has the focus, selected items are shown with a grey background.
The only solution to use a different colour in this case would be using a custom drawn list handling the
NM_CUSTOMDRAW (list view) notification code (Windows)[
^]. But then you must set the colours for all possible states inside that handler and skip the default drawing because selected and hot items are drawn by the system at last.
But I would not do so. It would break the standard UI behaviour and you would have to get the colours actually used by the system for selected items (the user may have selected a different theme where the selection background colour is not blue).