It's been months since I've worked with Pancake 2, so I could be off-base here, but there may be one of two (or both) things happening here.
1) Pancake 2 is linked to the palettes specifically programmed into the rom, so when you upload your image, it will take on the colors in the default player palette. To correct for this you'd need to find the location of the default palette and change it to match to your needs. Programs like HivePal work here, or you could use Palettes of Rage, or you could simply make the edits directly into the hex. You first need an address. I believe they're either somewhere in my blog, or in the TMNT of Rage readmes, or on the SoR Archive.
2) If you're using the same palette as the default and the colors aren't coming over, this is fairly common, and you just have to re-color by hand unfortunately.
There are other folks working on SoR mods who may be able to give additional advice. Consider adding "[Streets of Rage 2]" somewhere in the title of your subject line so that they can see this is a specific SoR2 line of questions.