I would quite like to know how to change the colours without using 3rd party stuff. I mean it actually seems really odd to be able to change the names for the labels but not the colours! The first thing that catches your eye is the colour, and if it has an associated meaning for you, you are unlikely to need it spelled out - not to mention the fact that it's not an immediate thing getting the names for them anyway!
Anyway, the other thing that confuses me with labels is why in the contextual menu, the "purple" is a totally different colour from that which gets applied!