Hi, Silence, I had a quick look at this as I have coloured objects in 3D modelling programs before and it seems to have worked alright but I've never done it with blender so I thought I'd have a look.
It seems that TheComet is right in the that if you just colour the object (in the object button of the properties panel) then the color doesn't export (in fact I couldn't get it to show up in blender).
I know that DBPro primative (i.e. MAKE OBJECT CUBE etc) do not have any diffuse data, as TheComet mentioned, but this set me thinking about just colouring the object using the diffuse colours that make up part of the object's material.
I've attached the blender and .x model I used. It's just 3 cubes one coloured red, one coloured blue and one coloured green. If you open up the blender file, you'll see that each cube has it's own material where the diffuse color has been changed.
If you load the model into DBPro, you should see three cubes, red, green and blue.
I don't know much more about it other than this, in fact I've only looked at this when I read this post, so I don't know all the ins and outs but I hope you find this useful.
Oh, and I've used Blender 2.59.
one of these days I'll come up with a better signature