In Color Settings preferences is stated Fogra 39 (if it matters - document was meanwhile saved and opened...). Are there other options to assign workspace to exsisting document?
The Color Setting's CMYK Working Space isn't necessarily the document's CMYK profile. You can see or change the CMYK assignment via Edit>Assign Profiles....
All of you screen captures are showing the image with a Fogra39 profile and there's apparently no transparency on the page, so the only other thing I can think of is there's something wrong with your monitor profile. If it's the monitor profile the shift wouldn't happen on my machine, so if you want to zip the ID and PS file and post we can take a look.