If you're developing a half-way complex web application, you largely don't want to depend on OS default dialogs. They can be buggy, detract from the UX of the rest of your application, require additional support as now you need to explain how to use the different dialogs on N different operating systems, and it's often the case that your application is the first time the user comes into contact with that dialog anyway - they're usually not nearly as commonly used as you'd think.

Last time I saw, Windows' color picker was still awful. Plus you may not want a separate window for the color picker.