not exactly true!
if you use iCal on the Mac and sync calendars with your iPad, you CAN change the colour of a calendar in iCal, and the iPad picks up the change - i.e. calendar colours match on Mac and iPad. I'm using MobileMe calendar sync, and the colour change is updated immediately.
similarly if I go to me.com using Safari, I can edit the calendar colours in my account there, and the change shows up on my iPad (iPhone too, BTW) and iCal. Unfortunately there doesn't seem to be a way to edit the calendar colours on the iPad directly
I'm guessing that if you use iCal and sync calendars directly through iTunes instead of MobileMe, you might also be able to edit the calendar colours in iCal on your Mac and have those show up on the iPad.