You will learn that there are other layers besides the "trace" or copper layers. For example, there are layers for the top and bottom solder masks, the top and bottom solder paste stencils, the top and bottom silk screens, just to name a few. However, there is no "component" layer.

Instead, each "component" consists of elements from diverse layers that make up the "footprint" of the component. (Technically, that's an incorrect use of the term "footprint," like calling it a PCB when you mean PWB, but that's another topic for another day). Each component consists of copper layer features (solder pads), which will be the color of whichever copper layer they are associated with. It will also consist of areas delineated for a solder mask on the solder mask layer, and if it's a SMT part it will include areas delineated for the solder paste stencil. And of course it will include elements on the silkscreen (sometimes called the legend) layer. You should learn about all of these so when you make your own library parts you can be sure to include them.

Now as to your question, you can't set the color of a component because each element of the component will be the color associated with the layer that element is on. Solder pads of an SMT component on the top layer will be red while the same pads on a bottom layer component will be blue. The silkscreen outlines will also be different colors for the top and bottom layer silkscreens. So make sure you have the silkscreen layers differentiated by color and you will accomplish what you intend.

You will also probably find that through-holes and vias are a different color altogether, usually grey. This is because they exist on multiple layers.

Anyway, I hope this helps,

Joe