Shoutbox

Nicknames are only shown in color on Messenger windows, because messenger Plus! colors them.

If you open contact's profile in a web browser, you won't see it in color.

And for chat windows, probably you are using WLM 8.5 but you aren't using Messenger Plus! 4.23. Update your Messenger Plus! (The last version is 4.23 now)

Note: Sharing Folder windows of WLM can't also show nicknames in color.