*Something* is still open on your Workbench screen. It could be AmiDock, it could be a Shell, it could be a clock utility, it could be DOpus, it could even be an AppIcon on the Workbench. Make sure absolutely everything is closed.
Or, hit Save instead and reboot. Workbench will boot up in the mode you selected. This can be risky if you haven't tested the modes yet.