Colour picker

I'm curious about something. The fact that Windows colour picker allows to define custom colours but never remembers them (neither in HeidiSQL nor in any other piece of software I've ever used) thus rendering the feature totally useless... Is it due to the fact that it needs to be implemented case by case in all programs that use it? Or is it that Microsoft never remembered to finish the feature?

I find HeidiSQL's Select session background color feature very useful but I use a colour coding system (green for development, red for production) and I'm using like a dozen different shades of these colours.