Okay, then you are using true color images I guess. When images with more than 256 colors are imported then the color is reduced to 256 colors according to the settings you make with the button “True Color Images…”.
By default the setting is just to reduce to 256 colors. But that means that every single frame receives its own color palette with up to 256 colors.
If you want a single palette for all frames then you can either create a palette on your own load it into a project and have this project open. When creating a new project from the images you can select “Current Palette” and the one from the open project is now used. This is what you currently do.
But even if all your frames have different palettes because you just reduced them to 256 colors each then you can create a single palette for all frames by just clicking the “G” icon:
It’s gray because there is no gobal color palette for all frames. If you click it then you get this dialog:
Set it up as shown and you finally have a global color palette.
If you want then you can now sort the colors in the color palette window.