You CAN get colored captive bred seahorses, just look at
http://www.oceanrider.com. They are a pretty penny though, which is why stores dont buy from them. Also, its a PITA to get them across the border. I looked at this shipment of seahorses at J&L a day or two after they came in and I noticed flesh wounds on almost all of the orange/red ones. The yellow ones looked good, but they tend not to keep thier color.
I am disappointed that J&L would keep bringing in wild caught seahorses, even though they are very beautiful. I told them to try and get some captive raised in.... even if they are more drab looking. Unfortunately, stores still care more about making money than the well being of a species. Alas, I will do my part to attempt to raise the fry of my captive raised ponies, and bring some locally-bred ponies to the stores. *crosses fingers*
-Diana