I've never been able to get it to work that way.  But here's how to do it with a multi-value token:

Use the Assign Token Values activity to set-up a multi-value token and list your checkbox values there.

Then in the "Set Business Process Variables" activity, you'll assign the token to the field, with comma separated index:

It'll look like this in the "Starting Variable Values" section: 

My_Favorite_Color=%(Checkbox Values#[, ]#)