The "Copy Pledge Defined Fields on Future Payments" should only add the UDF values to new payments going forward on the Pledge, if it's marked after the first payment has been made. Right now it's attempting to apply the values to existing payments but it's doing it in a way is preventing them from appearing in columns. You can perform the following steps to make the values save correctly.
- Open the transaction in question
- Ensure the UDFs are applied
- Click Save And
- After re-saving, the values should appear in columns