update

Dear Ralf - as you may have suspected, ANY M-x customize-* failed
for me (not just AUCTeX related ones); I just had never noticed it. 
(I'm accustomed to editing .emacs directly.)

So the problem turned out to be this: in the command 
(setq keyboard-translate-table "....") in my .emacs,
there was a naked control-M (instead of \C-M).  This never caused
trouble with other aspects of emacs, but apparently it ruins the
customization mechanism.

Thank you very much for your help.  If I may make a suggestion,
you-all might think of including in the AUCTeX doc a list of the
variables involved in syntax highlighting and an example of their
direct use. Putting such a line such as
 '(font-latex-match-reference-keywords (quote ("fullref")))
(which is what I wanted to do from the beginning)
is a lot quicker than going though the customization menus, especially
if one wants to make the change on two or more systems.

Thanks again, and best wishes,

Silvio