Some infos I have asked to the Zbrush team;)

< Does it possible to reload in ZBrush a file format OBJ directly with the informations of the MTL file for have colors?

< No, ZBrush can't load the colors. It simply ignores the materials part of the files.
It will make new polygroups according to the materials, if you switch on 'Import Mat as Groups' in the Preferences>Importexport submenu.

So except Zbrush Moi OBJ system works fine for the colors (but you have the polygroups) ;)
Here Blender



Here Zbrush