I had this same issue. The filament would fail to retract on color change. The part OP was missing is called Cutter Cut Off Rod. Mine was installed but after spending 5 hours disassembling the whole hot end, extruder and looking through the Bowden tubes along with CMS system. My issue was a loose screw preventing the print head from going far enough to actually activate the cutter.
By chance I saw the glint of metal shavings and found the loose screw along the rail. More than half the screws on the rail were loose, I tightened everything back down, I’m assuming it was not tightened at factory and with shipping and shaking from prints it backed out. Not sure how smart it would be to locktiten/threadlock those screws. But I might give it a shot. Hope this helps if you have cleared the tubes and extruder but still have the issue.