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See if you have the "Product Data Filtering" workbench located under "infrastructure" with your licensing.
Within that workbench there is a product to part with additional options for maintaining colors.
I just ran a little test with CATIAV5 Rel 2020, and the original colors did stay with the parts (for most things).
The dumb solids in all the new Part Bodies kept the original color of Instance, Part Body, Surfaces, and Geom Sets. The only colors that did not transfer was when I applied color to individual features (Pad, Pocket, Faces).