VeSys2 does export the color of the wire; whether assigned to the Wire Color Attribute, or via a VeSys2 Components wire part. What is currently not supported is the export of a color_number, this being purely related to NX and not to other MCAD applications, or even CHS. Of course, if you choose, you may manually add the color_number User Property-value pair to the wires. Easier still, define it on the wire part. When you assign the part to a wire instance, the user property from the wire part will now be present as a user property on the wire instance, and will be exported in the NX Wiring integration format to NX.
This should set your colors in NX.
Nevetherless, there is typically no need to have colors on the individual wires in NX. Because wires will be routed in bundles, and they typically terminate on a single multiport, the eventual rendition of the bundle is in a default color. If, of course, you have defined the connectors so that wires terminate on individual cavities, then you will see the colors of the wires as they fan out into the individaul cavities. But this is an approach we don't recommend for VeSys harness users. If they are using NX's own formboard application, then one can see the reason to want the color_number.