I am using 2021.1, works fine for me, workflow is same as it always has been. 

I do this:

Edit/Graphic Display Window/CAD Elements...check off all of the boxes..select a color..left click & hold with mouse to draw a box around my model in my GDW & the entire model will highlight to show it has been selected...click APPLY & OK...color changes. 

Do you do something different?