Good news is that it will be able with WLM8!
WLM includes a feature called "Quick Name" (free translation
) which let the user rename his/her contacts' names [u]and sort them on that name[u]. With the upcoming MP!L, you can use colors in WLM so also in the Quick Name. And there you have it: you're contact list sorted on colors!
You just have to wait 'till this summer...
Or am I wrong?