Thanks for your work on this library and HttpModule.
Looking through the source code it appears that you have to add a querystring parameter of "MarkAntiXssOutput" in order to get the output to be colored. You can see this in AntiXSSLibrary, AntiXss.cs, line 214: if (HttpContext.Current.Request.QueryString["MarkAntiXssOutput"]
It appears in looking through the source code that this check could be removed, since the only place I see it called is in the httpmodule in PageProtection, where the configuration section is checked:
if (objConfig.MarkAntiXssOutput == true || blnMarkAntiXssOutput == true)
output = AntiXss.HtmlEncode(output, objConfig.MarkAntiXssOutputColor.ToKnownColor());