By what I know the colors can be changed by modifying the moi.ini file.
Here the section:

AxisIconXColor=160,160,160
AxisIconYColor=160,160,160
AxisIconZColor=160,160,160

Is that what you are after? You find the ini file under: C:\Documents and Settings\...your user name...\Application Data\Moi\moi.ini


EDIT:
I take it all back, I just realized what you are talking about. You were talking about the axes shown on the view plane .. sorry mate. I see your point, different color for the Z axis would be nice :)