This is because you defined the background colour in the paragraph style not in the section or page style.
Note however that you can’t set the gutter background separately from the page/section.
A workaround is to insert a frame in the header or footer, give it the desired background and to dimension/offset it so as to cover the gutter.
Modify the paragraph style. (F11, right click in the paragraph style that you use for the text in the columns, select Modify, select the Borders tab). Don’t indent the text, add a border, line color same as background of your column, add padding instead of indentation. If you want different colors in the columns, you can do that by direct formatting (select all text in a column, select Format - Paragraph - then as in the paragraph style.)
Made some changes - removed padding below and above, added CRs to fill the columns, gave different colors to columns content using direct formatting. Note Saving as .docx will totally mess up the padding, so keep this in the .odt format, or you will get lost.
padded columns.odt (35,4 KB)
Edited sample file again.
Thanks for the reply @anon87010807 !
I’m trying to find where to add the border. Is it in Menu> Format> Paragraph ?
See my edited answer.
Thanks for the reply @anon87010807 and @ajlittoz !
It almost worked, but my header got a little bit bugged. I’m not sure why.
I’m not tech savy, so I will just use the tab space bar.
Thanks guys!
I think that padding it’s enough.
But I don’t find a way to color all the column, if there are no paragraphs all to the end.
@ LeroyG Correct about border, but you still have to be on the Borders tab. You can add blank paragraphs to fill the column.
Trying to avoid that.
I just downloaded your .odt. This is EXACTLY what I need.
Let me spend 10 minutes trying to replicate what you did.
Please don’t close this ticket yet!
When I add the Padding, a space is created before the colored column.
I need that space, but on the inside on the colored column.
I have no clue what I’m doing wrong here. 
Post your document here, screenshots don’t help because the indent is probably from the indents & Spacings tab.
This may be the problem. I would always prefer to save as .odt.
EDIT: Once saved/opened as .docx, error may persist. Copy the content, and paste in a new document.
You don’t show what you want to have in the header.
Still can’t add the padding. 
It shouldn’t. But you should not mix direct formatting with styles if you can help it. Of course, much depends on how often you have to make documents like this. In any case, you should read about styles and formatting. Put font size, color and the like in the style, not in direct formatting (paragraph and character), add only the colors by direct formatting if you don’t have to do this kind of thing a lot. If you do it a lot, make a template with a base style for the session headings and one for the session texts, then derive styles from them with added color. That will minimize the amount of work.
@anon87010807 Thanks for the reply! I will spend a couple of hours watching a few Youtube videos about “styles and formatting”. Then I will try to solve my issue. If I’m still unable, I will post a message here trying to explain the best way I can why I’m not being able to solve it. Please don’t close this ticket yet 
See edited file in my Answer post.
When it comes to such “sophisticated” formatting, always work with .odt. Other formats have not all the primitives needed. More over a conversion occurs when saving to .docx, causing the loss of some formatting; another conversion occurs again when loading from .docx. As a consequence you can’t rely on tuned styles because many LO features don’t exist in .docx and are translated into direct formatting approximations.
Therefore you’re doomed to reformat your document every time you open it!
Your document is plagued with direct formatting but this may be the consequence of multiple .docx conversion.
Style tutorials: be very suspicious about the material you could find on YouTube. You’d be better off with reading the Writer Guide for an introduction. Practice a bit to discover what you don’t understand and only then target some specific tutorials on YouTube. Beware! Usually these don’t emphasise enough the use of styles.
The AskLO site is a better source for specific questions.
