Prioritizing e-mails

I want to prioritize my e-mails using the High, Normal, and Low designations on my iMAC. However, when I click on an e-mail and go to MESSAGE (in the menu bar), and click on SET PRIORITY, the choices show in faded gray, so that I can't select any of them.

I have also gone to MAIL PREFERENCES RULES, selected colors to correspond to the High, Normal, and Low Priorities (specifying TEXT not BACKGROUND), but when I try to match the colors to individual e-mails, it doesn't happen. What does happen is that all the e-mails turn one color. I would like to know how I can prioritize each e-mail in the color text that I want.