Why does configuration option stay red?
The "Configuration Checklist" is just a set of links - the color is just an indication of whether or not you've clicked on it.  In many cases, there's no definitive way for CiviCRM to know whether the answer you gave is "correct".  For instance, you may not have set a default state/province because you don't want one, not because you forgot to.

That said: Some configurations MUST be set.  Those will show up at Administer menu » Administration Console » System Status if they're not configured.