I looked into the color management setting, and it turns out it is only applied to CMYK JPEGs. I think it was implemented as a very quick change to address quite a specific request that someone made. I've put in an update to the documentation so that this is at least made a bit clearer, and I'll also add a to-do item to look at extending support to RGB JPEGs.
PDF files don't appear in the next/prev lists for me, but they might if you have installed a viewer plugin which tells Opus to treat PDF files as images. The Universal Graphics Viewer Plugin might do that (I am not sure), so try disabling that if you have it installed.