In the "Office display language" box, the first row "1. Match Microsoft Windows [English] <preferred>" means that Office is using the same language that's currently selected as the Windows display language. That is actually English (United States). [Microsoft tends to be US-centric in labeling, so "English" assumes English (United States).] Note that neither of these selections has anything to do with the Office proofing language in the second box of the dialog.
You can tell whether the Office display language is UK or US by opening the dropdown for the font colour to see whether the labels say "colour" or "color".
You can change the Windows display language to English (United Kingdom) in the Windows Settings at Time & Language > Language & Region > Add a language. After you do that, you'll probably have to change the setting in Office to match the new Windows display language.
Alternatively, you can change only the Office display language so it ignores the Windows display language. In Word's Options > Language dialog that you showed, click the Add a Language button and select "English (United Kingdom)". There's a checkbox that says you can make the added language the preferred language; leave that checked. Office will download an update package and install it. Then you should see English (United Kingdom) as the preferred display language, and your "colour" labels will look correct.