This is due to the fact that, beside selecting those files from the Cold Storage tab, you also have them selected from one of the other tabs; the Smart Selection and My Computer tabs.
Zoolz gives a higher priority to the Instant (Hot) Storage (applied for selection from the Smart Selection and My Computer tabs) than to the Cold Storage.
To solve this issue, remove the selections from the Smart Selection or My Computer tabs, and only select them under the Cold Storage tab in the Zoolz client on your computer or in the policy.