Yes, that is ticked.
The picture also reverts to the original when I click on the Monitor Gamut warning icon.
Ah, the penny drops.
Uncheck the Simulate paper and ink box to see the out of gamut colours.....
As I understand it, with the "simulate paper" checkbox checked you see the out of gamut warning. With it unchecked you see clipping warning.
Open the catalogue,tick the Softproof box, and if the Simulate paper and ink is ticked then you must untick it, only then can you see the clipped colours. After that you can see the clipped colours with or without the simulate box ticked. Slightly strange......