I use the same method you did. Just to clarify, did you go into settings advanced or settings general? In settings general, you can change colour schemes, styles, and icon sets. In advanced, you have limited options that seem to affect only the taskbar and widget styles, not the colour schemes of KDE applications. My Dolphin has the system colours that I chose in settings general.
I went into advanced- didn't realise it was in general as well , many thanks- sorted.