There must be some kind of limitation. I'll have to ask the translation team and won't have an immediate answer.
So, while we wait for an answer, here are some helpful tips to make this work for you:
1. For circuit board components, do they need to be STEP assemblies in Altium? Is it truly a requirement of Altium?
1.1 While making the component (presuming you are making it in Fusion), does it need to be an assembly?*
If the answer to both of these is no, then model the parts like headers and connectors as a single part with mulitple bodies. Your problem should be solved by this.
*Only make assemblies when you need one. Such as the following reasons: I need to make a drawing of a single part inside the assembly. I need to make motion within my assembly. I need to send a single part to CNC.
2. Or use faces. It's easy to select and apply appearances to faces.
Steps:
a) Set Selection filter to Body Faces.
b) Window select the faces you want to color.
c) RMB > Appearances
c) Drag an appearance to a selected face. All selected faces will take the color.

Thanks,
Phil Eichmiller
Software Engineer
Quality Assurance
Autodesk, Inc.