It works, there's no doubt about it so my guess is that you are doing something wrong probably due to the renaming of the AIs. Spaces and colors in names can be tricky if you are not careful.
And yes the option "AI use player colours" has no effect on this, see post #14.
PS
The procedure I describe in post #12 is slighlty different with patch X, because Scawen implemented a new more intuitive approach on selecting skins.
The right step by step procedure for patch X is this.
1. Make sure you are using the default AI names for now.
2. Go to Garage.
3. Click on the "New Colours" button.
4. Select a skin from the skin-list that pops up.
5. Now you see that a new colour scheme has been created after the name of the skin.
6. Click on the "Rename" button (located below the "New Colours" button).
7. In the box that pops up write AI 1
Repeat these steps for AI 2, AI 3, ... AI 20. Just replace the AI 1 name at step 7 with the new one.
For your convenience I suggest to press that "New Colours" button one more time and create a new profile named MySkin or something and use this for your player.