It seems that the color palette is changed when DOSBOX starts in fullscreen mode or is switched to fullscreen mode.
However, the original palette is not restored (or not correctly restored) when DOSBOX exits or is switched back to windowed mode.
The Desktop colors are changed ( to the default set Windows colors ? ) when I'm back to Windows.

It is possible to get back the original color scheme by enforcing it with "Display Properties".
Configuration :
DOSBOX version 0.61
OS : Windows 2000 SP 4
Video : ASUS AGP-V7100 GeForce 2 MX with 32MB, 1600x1200 High Color (16bit)