I think within certain brands, different loads have different loads. Some brands have a slug as one colour shell, buckshot another, and less lethal rounds yet another colour, for safety reasons. So you don't load the wrong shell at the wrong time. Take Remington for example. They have different colour shells for different applications and calibres. Red, Blue, Green, Black, Silver, and Gold are some that I have seen from Remington.Great review.
But I couldn't help but notice that the 'blue' shotgun shells had Winchester SUPER X markings on them.
Why don't the manufacturers realise that the colour of the 12 gauge shell is about the brand itself, and not the load.
Winchester : Red
Remington : Green
Federal : Maroon
RIO : Blue
Also some companies like Remington will use Black for their cheaper budget line of shells.