I think set warn colour actually only works when you use the log parameter, second one in on the example below (rather than warn or error)
UE_LOG( LogYourCategory, Log, TEXT("%s%s() : %s"), NETMODE_WORLD, FUNC_NAME, *Msg);\
My suspicion is that warn and error have their own overrides.
You have to use CLEAR_WARN_COLOR afterwards to go back to how it was. As I said on the answers page, there’s a wiki about custom log files here