They did capture color. Ultima Thule is red.

https://www.space.com/42878-ultima-thule-new-horizons-first-...

Usually comets look gray even in color pictures.

True-color image of comet 67P/C-G: https://i.imgur.com/wVMkBOV.jpg

There was a low-resolution colour camera and a high-resolution black-and-white camera. But the colour information isn't very interesting: https://en.wikipedia.org/wiki/(486958)_2014_MU69#Gallery

Chances are they did (we know they did for the Pluto encounter), but right now they're prioritizing the most potentially scientifically interesting images as it's going to take 20 months to download the entire data set.