1. Use one of the colours in a palette for some styling on a few objects.
2. Change the values of that same colour in Tools>Options>Colours.
3. Click OK.
4. The styled objects keep their original colour but with the new name "User".
When I used several instances of the same named colour, I suspected to be able to change the values of that same colour and thereby change all instances. Something like colour styles.
I don't know if this is a bug report or a feature request.
OK! This seems to be a feature request.
The handling of user colors is being overhauled completely. You will have the opportunity to add colors to a special user palette and the access to palettes is possible from all pickers. That makes the Tools>Options>Colors setting obsolete. Much more improvements have been done, including the proper function of the recent colors. Not all features are committed yet but you may try a nightly build  to get an impression.
If you talk about styles you may have something in mind like document themes (bug 90497, will make this one a duplicate). That's work in progress, unfortunately with no schedule when it will be finished, as far as I know.
*** This bug has been marked as a duplicate of bug 90497 ***