Hi @noupe,
Thanks for the screenshots, they made this easy to track down.
You’re right, and you haven’t missed a setting. The Grid Module block comes from our Magazine Blocks plugin, not from the ColorMag theme itself. In the current version of Magazine Blocks (1.8.9), the “HTML Markup” option for post titles only changes the preview in the editor. On the live page, the titles always come out as H6, whatever you pick.
We’ve reproduced this on a fresh site and reported it to our development team. It’ll be fixed in an upcoming Magazine Blocks release.
You won’t need to change anything once the update is out. Your H2 choice is already saved in the block, so after you update Magazine Blocks and clear any cache, your titles will switch to H2 automatically.
For future questions about Magazine Blocks, you’re also welcome to post in its own support forum: https://wordpress.org/support/plugin/magazine-blocks/
Thanks for your patience, and sorry for the trouble!