This issue can be resolved by commenting out the line mentioned by SmoothAssault
Find this file:
/wp-content/plugins/jquery-colorbox/includes/jquery-colorbox-backend.php
On line 211, change:
$modifiedArray[‘theme_advanced_styles’] .= ‘;colorbox-link=colorbox-link;’;
to:
//$modifiedArray[‘theme_advanced_styles’] .= ‘;colorbox-link=colorbox-link;’;
that will remove the link from the Styles dropdown and allow the custom styles to appear