Howdy,
Another possibility is you are using 'Restricting' signals. They will never show anything but all red. They are useful in situations where you don't want AI trains going past a certain point or in some real world situations where you might have a Restricting Proceed Signal. You can usually tell if this is the case from the ingame signal name. It might have an 'R' in the name indicating that aleast 1 of the aspects capable of being displayed from that signal will be restricting in nature. In the case of a controlled interlocking, like you have there your signals should be absolute. Although it varies from railroad to railroad you'll see the indication will likely be a 'Restricting' not 'Restricting Proceed'; as in a "Lunar" indication or flashing red. If you want the interlocking to be all red then you'll have to get "talked by the signal", as in the Train Dispatcher or Interlocking Operator with have to give you verbal authority to pass the all red absolute, aka. press the 'Tab' key
Again, I should mention all of this varies from railroad to railroad, region to region, and time frame to time frame. But in a nut shell I suspect your signal is all red because your using restrictive signals. Try using one without the letter 'R' in it.
Take care.
P.S. Another possibility (however unlikely) is you have the link order mixed up.
P.P.S. Try exiting out of the editor and reloading as well. Sometimes doing so affects signal operation for the better.