There is nothing different about the default cube than any other object. You need to give more info than that if you want any help. Show screenshots/screencast, blend file, all the normal things you include in support questions.
Well… You obviously haven’t fully understood how the material panel works.
1st: why do you add so many empty materials to begin with ? I see you click on “+” “+” “+”…
If you assign several materials to one mesh, that’s in order to have some faces display one material and other faces display other materials.
What i see you do is apply 4 materials to the same mesh, but without assigning the materials to particular faces. So in effect only the material at the top of that “material stack” is used !
That’s why your 1st cube remains grey. If you want it completely blue, just assign ONE material to that cube, ie the blue one.
Sorry if i am not clear, but looking at that video, it seems it is completely obscure in your head. If you have Skype, you can contact me (i speak german too), as i think it’ll be easier that way.