Right, I didn't save the colors in the map because that way you'd have to set up the colors manually all the time, whereas having them in the preferences you set it up only once and you can even change your mind about the colors easily later. There's the option to export the color definitions to XML to share it with others.
My assumption here is that you will actually have only a limited amount of different object types of course. I think of types like "exit", "spawn area", "teleporter", "npc", "checkpoint", etc. Even in your example you only mentioned two colors.
So while I don't think individual colors would be a bad feature, I haven't rushed to add it because I thought the other coloring mechanisms were more appropriate in most cases.