This has been a long-standing thing that could (should?) be fixed…
Say you created a project and in the Finder gave it a color. If you open that project in Cubase and then save it, that color is lost and it’s reset to no color.
There are many Mac apps that retain the assigned file color when you save documents. Kind of annoying when you use them to highlight and/or organize files on a Mac, and Cubase goes stripping the color off. 