I have a complex figure made with an epslatex terminal in gnuplot. It is a multiplot figure with four panels. In each panel I draw three curves (for three different values of a parameter) and then I superimpose another curve for another parameter on top of each curve. 
I can distinguish the first parameter with different types of points, and the second one with color. 

So, I use the key to distinguish the different points and I would need to have another kind of key for the two colors. Then I use a label with colored text. The point is, the text does not get colored in the epslatex terminal! 

I have

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> set terminal epslatex color solid 8
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and 

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> set label 10 'H' tc lt 1 at 0.01,6
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This way I get the 'H' label in black. If I use

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> set terminal epslatex color colortext solid 8
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it gives me the error

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> Package color not loaded in conjunction with terminal option `colourtext'.
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Any idea what's the problem?