DHE is specific for superoxide and hydrogen peroxide and will not detect other ROS. Not obvious why everything is lighting up. There are more ROS labels that can be tried.

DHE doesn't work on fixed tissues it is a vital stain. You need to observe living cells or tissues that are stained with DHE. I had limited success in unfixed flash-frozen tissue sections with hard tissues such as cornea and skin after exposure to UV light, but this approach might not work in the brain. DHE staining is also quite easy to do in live cell cultures. For the brain slices, I would try vibratome and then observe the slices immediately after adding DHE. As suggested above you can try other fixable ROS indicators to keep more in line with the established cryosectioning process. Also, keep I mind that DHE has two excitation/emissions peaks one oxidized that interact with DNA and produces a signal on the 554 nm channel and unoxidized that produce flourecence on the DAPI channel (350 nm). Thus you can see both on the two channels to show the relation of non-oxidized DHE vs Oxidized DHE see more here: Article Discovery of novel L-type voltage-gated calcium channel bloc...

Please try the protocol described in this ms:

Peterson SL, Morrow D, Liu S, Liu KJ. Hydroethidine detection of superoxide production during the lithium-pilocarpine model of status epilepticus. Epilepsy Res. 2002 May;49(3):226-38. doi: 10.1016/s0920-1211(02)00047-5. PMID: 12076844.