Thank you for your feedback.
The issue you are encountering arises because the menu is being rendered from the predefined header in Helix Ultimate. This predefined header automatically includes a menu, which is separate from the menu module you have assigned.
If you do not wish to use the predefined header menu, you can disable it by navigating to Template Settings > Basic > Header and turning off the predefined header prnt.sc/v8rOfLMfPCqJ. Once this is done, you will have full control over the menu module you assign to the desired position and can style it accordingly, including managing the background and layout.
Best regards