You can put anything you want into a submenu. Add a new thing to the Context Menu and set its type to Sub-Menu, then move the colour item you made before into the submenu. Finally, right-click the colour item and set it to end the sub-menu (else everything below it will also be in the sub-menu).
Yes, via the Preferences page shown in my 2nd last reply.
To do that you have to customize the folder icons the same way as in Explorer, or use one of the many shell extensions that let you do the same in a more convenient way. (They should work fine with recent versions of Opus.)
If you want to do it the Explorer way some icons can be found here:
[Color Folder Icons)