Actually I think its a matter of opinion. I personally don't think SW
fish are more colorful overall. Think about apistos, bettas, gouramis, kribs, salmon, etc, and you'll realise theres an awful lot of very colorful FW
fish. Conversely, theres an awful lot of boring colored SW
fish; sardines, many adult damsels, sharks, smelts, etc. I do think some SW
fish have more intense coloration, but the variety of color in both are extremely varied.
What I think the difference is, is most of the aquarium SW
fish sold are reef fish, who live in areas with lts of color (think of corals and anenomes); if you include most of the other SW
fish from different areas, you'll see overall there isn't a lot of colorful SW