No, that's not possible. I find that if I convert the Polyline to a 2D "heavy" Polyline, for which each vertex is its own entity, if the color is other than ByLayer, there is a color entry [DXF code 62] in the entity data for each vertex [each one the same]. It is possible to substitute a different color designation for a vertex, and that "takes" in terms of remaining listed that way in the vertex's entity data, but it doesn't "see it through" to changing the visible color of the segment following that vertex, as I had hoped-without-hope that it might.
In addition to the Explode-and-Group suggestion: You could draw a Line or single-segment Polyline in the desired color over the segment, if you're careful about keeping it on top, which would maintain the "integrity" of the polygon itself. Or you could break that segment out with Pedit or Trim, keeping the rest as one un-closed Polyline entity [depending on which segment it is, you may need to Pedit-Join two parts back together] instead of the separate pieces that Explode would give you, and draw a Line or single-segment Polyline in the desired color in place of that segment. In either case, you could still Group them together if you like.
Kent Cooper, AIA