So many pills/capsules here in the U.S. do indeed have some color to them.

Tablets as well. Hurdity, they are not 'bright' colored at all, but do have a shade to them.
I don't know what the coloring is and it may be completely harmless. Unless it's a perfectly clear, see-through, translucent capsule, I'd assume some colorant is involved.
You can check with the specific generic manufacturer of your brands and see all the ingredients. That's what I'm going to do right now. This may be an end to me and natural Progesterone.