I've just had a look at this and it didn't work quite as I was expecting but it does seem to work ok.

What I've found is replay recordings are made without colour adjustments but when you play them out they use the current settings from the relevant input. Use Source Settings must be checked for it to work.

As long as your colour adjustments are directly on the camera inputs (not virtual inputs etc) then they should be shown when playing out replays.

What I did
Add cam input
Add replay and start recording
Set cam input colour adjust to +100 green
Create replay event
Play replay event - Plays out in green as expected.
Change cam colour adjust to 0 green +100 red
Create replay event
Play last replay event - Plays out in red as expected.
Play first replay event - Plays out in red rather than green (i.e. uses current colour settings not the ones in place when it was recorded)

Other than checking you have Use Source Settings enabled on the replay channels and you have the colour adjustments applied directly to the inputs you are recoding in replay I'm not sure what else to suggest to troubleshoot (I have found you sometimes need to select a different event in the replay list to get it to update the previews with the latest adjustments)