Is there a relationship between loss of electrons and EM wave reflection?
Actually, I think you have it backwards. The color you see is due to the colors of light which are removed from white light when traveling past the iron. That is, if you go and find an absorption spectrum of iron cations in different oxidation states, you will find they primarily absorb the complementary colors of the color you actually see.

As far as the relationship between charge and the color, the ions with a smaller charge will likely have a larger HOMO-LUMO gap which means you will see colors of shorter wavelength, which is what you report. This property will depend very sensitively in the presence of ligands and other environmental changes, so it is not always possible to guess the color of a compound based only on charge.

This is typically how colors work for systems that absorb light. It is, however, possible for the we see to be due to reflection. Pure reflection, though, is independent of wavelength, so the phenomenon you describe is actually scattering, which does depend on wavelength. This type of phenomenon is responsible for the color of the sky.

Finally, you sometimes see the color which is emitted after absorption, as is the case in fluorescence and phosphorescence.

Hopefully that clears up your confusion