Samsung EX2F Raw vs RAW vs RAW+the various JPG modes

You're not doing anything wrong, and neither is the camera (if I understood you correctly).
Raw files do not undergo the processing to make jpegs, so they don't go through the black and white conversion. If they did, then many people would be very upset about having lost the color from their raws. The raw file is meant to represent as close to the sensor data as is reasonably possible, though sometimes a manufacturer will tweak things a little, even when it may look like the data was changed, it's usually not, rather some metadata was included that the raw processor in a program like Lightroom is reading and following (e.g. lens distortion correction info). Here is what those modes do on most cameras:
Jpeg: you get a jpeg with all the jpeg processing applied, black and white in your case.
Raw: you get a raw file that depends on your camera manufacturer (e.g. .cr2 for Canon, etc...) this has no jpeg processing done to it. A white balance is chosen by the camera for display, but it can still be charged to anything. This will not be black and white as that setting is only about jpeg processing. The only way to have a black and white raw is to use a monochrome sensor, Leica makes such a camera.
Raw+/raw + jpeg: The name can vary slightly, what this does is to save both the unprocessed raw and the processed jpeg. So you should get a color raw and a black and white jpeg in your case. If what you meant in your post is that when using this mode you don't get the black and white jpeg.... then that is pretty unusual.