Hum... sorry it does not help me, but maybe I was not clear enough, or maybe I don't understand what you mean.
First, the color of windows for an existing save is inside the save file. I compared 1 save before and after a change, and I noticed that a small change just in one corner of one game's save changes a lot of bytes in the save file, not only the bytes related to the color itself... probably because of "security" bytes or something like this (so that if I change only the bytes related to the color itself, the game's save is not valid anymore and I can't load it anymore).
...But I would like to change the colors of the windows for a new game, and it looks like it is the same used for the "Continue menu --> select the file to open" when starting the game, which does not depend on the saved files.
I agree that it should be in the exe, but the problem is that the default colors have really common values (corner up-left in RGB: 0,0,176 --> 0000B0 in hexadecimal and there is a ton of "0000B0" bytes in the exe). I just found the following line at offset (h) 00595150:
00 58 B0 00 00 80 00 00 50 00 00 20 00 00 00 00
These bytes starting at B0 are like Blue-Green-Red (or BRG) for corners up-left, down-left, up-right, down-right.
But if I modify them, it doesn't change anything when starting the game. So I guess it is just a coincidence.