Sticky posts use styling to make them stand out and be different from regular posts. They use generally configured colors for the titles appearance.
Also, sticky posts are only relevant for the homepage, elsewhere their “sticky” status is not used.
There’s no distinct setting to control the styling but that can be customized with some CSS:
body .sticky h2.entry-title a {
background-color: inherit;
color: inherit;
padding: 0;
}