I have maybe 99% of illustration in CMYK but the most important thing is that you dont combine (mix) RGB and CMYK or other eg Pantone colors in you illustrations.
You can make illustration in color space what you want but dont mix color spaces in one illustration.
First at all delete all predefined swatch colors from that window because there are mixed us RGB, CMYK Pantone an other color spaces and define you own color swatch.
Pesonally I dont open this window. I have template with square colors and gradients which I use so I pick them from my own template.