If you set the color in the details and then while playing call up the command line and type “show collisions” you get the different colors in game for debugging.
I guess if they really wanted to change it dynamically during run-time they could rebuild the engine and change the UProperty in Shape Component
/** Color used to draw the shape. */
UPROPERTY(EditAnywhere, AdvancedDisplay, BlueprintReadOnly, Category=Shape)
FColor ShapeColor;
Or build a simple C++ function to Set it.