The CMFCColorButton will not displayed correctly if this button is placed on a CDialog if the application is dialog based.
The problem does not occur if the application is i.e. a SDI Doc/View application. In a SDI Doc/View application it is possible to place a CMFCColorDialog on i.e. the AboutDlg and it will displayed correctly.
Therefore I think there is a bug in the CMFCColorButton class.
The same problem exist also with Visual Studio 2008. It is not a Visual Studio 2010 problem only.
I guess the problem is the CMFCVisualManager that is not set up correctly. My investigation in the CMFCColorButton class made me believe this, since the CMFCVisualManager did not paint the control parts.