I have never tried coloring confectioners sugar but do color regular sugar by mixing it half and half with flavored gelatin powder (Jello). I use this to sprinkle on the top of sugar cookies. The color seems very pale but intensifies as the cookie bakes. It also adds a different flavor than you would get with sugar alone.
Depending on what you plan to do with the confectioners sugar, this might be a way to color it.
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