Hello @Leigh_Applestein,
In general colours show when you have the custom field selection coloured. It seems up to 3 coloured boxes show in the calendar.
As you mentioned in the filter you can change the colour setting to pick a single-select field. Then the relevant colour will be displayed for the task.
In my case for example I selected the “add subtasks” custom field. Since that is orange the task shows in orange as well.
Now if I set the calendar colouring to the field “Project Name” then as you can see the task is coloured in blue. The first box that shows is the colour of the project, then the 2 other custom fields
I don’t know though why one colour shows in front of the other although the custom field is listed below the other.
Even when I did switch the order of how the custom fields are displayed under the “customize” menu the same order did stay.
But I did not face any problem with having the colour boxes displayed, just ensure that your single-select custom field options have colours set.
Also here is a relevant feedback request thread