If you run the dialer code *#0*# and select the LED button, you will see that only the blue, red, and magenta colors work for the LED, with magenta just being the other two both on at the same time. I believe it's up to app developers to figure out how to correctly utilize a phone's built-in LED colors, and most just provide the option of "on" or "off" and use the phone's default color. I'm just guessing here, though, so don't take my word for it.
If you've never heard of the dialer codes, you can search online for more, but be careful because some of them will go as far as to factory reset the phone.