You need to set the custom class for each breakpoint size separately as required, otherwise it may not appear as you wish. Personally I find it quite time consuming and wish the settings were all inherited, unless changed manually.
I also believe there is a bit of a bug with colours not saving reliably with custom classes, but this extends beyond buttons into other areas as well and I’ve been battling with this for some time. Very often I have to repeat the exercise several times before a colour choice sticks. Hopefully Blocs 3 will fix this @Norm