Character's Palettes on the Save/Load, Party Switch, and Shop Menu

There's an option in FF3usME in Gfx > sprites then you'll see there on the right side a 'Save screen/shops palette index where you can check the box there to use the same one as battle. That -may- solve it for you. Still, you shouldn't have to do it that way I thought.
So double check your work at:
CB/81E2: 43 Assign palette $03 to character $0C.
although I'm sure you have.

If that doesn't solve it, it's something else, we'll figure it out.

Poco Loco has a Leo riding sprite, I believe.