The world creation screen is one of the trickiest menus to customize (buttons are stacked, tabbed, etc.) and editing vanilla widgets there often breaks their interactivity—which is likely why the “Allow Cheats” button stops toggling when you change its label. That’s why the documentation recommends keeping customizations on that screen to a minimum (mostly just backgrounds) and not touching the built-in buttons: World Creation Screen.
If you really need coloured text, a safer alternative is to leave the vanilla button untouched and overlay your own custom button or text element that simply mirrors its state (use a ticker or listener to check the game option and show green/red text). That way you avoid breaking the original toggle while still giving players the colour feedback you want.