As far as I understand, (Someone please chime in if I am dead wrong) material properties are NOT linked to a specific color like in other lower end CAD packages (SW etc.).
This actually makes a lot of sense as most high end parts and any Class A panels will have a finish color that will likely vary from the base material so you want this level of customization and the actual color applied really has no purpose other than for rendering and visualization.
You need to set the color independently. You can either change the actual feature color by leaving the selection filter to "No Selection Filter" and right-clicking on the solids/sheets in the graphics window. click "Assign Feature Color" and the feature (Not the solid or sheet itself) will have the color applied to it. If you have solid or sheet bodies selected then it will change the color of that geometry temporarily and not the actual feature so when you load it again you will see the color applied to the feature that made that geometry.
You can also only change it for the purposes of rendering if you want under the "Render" application.
Changing the color when your in a high-level assemble also changes it only for that assembly, see this thread for more info:
As Felix says, there is no link between assigned material/ color / render properties.
This has been discussed back and fourth for many years, i would not be surprised if we would get an option to toggle on/off a link between material / render properties.
There are always users who have based workflows on how NX used to work, and they would not appreciate if material/color/render properties suddenly was hardcoded.
Are you using the Material Editor? If so there is a box where you can choose the material color. The Editor has tabs and under the GENERAL tab the first item is Material color. I don't know if you need to use True shading to see it but it seems like you can change it there.
