Why is my dyed plaster losing its color?
The dye you have linked to is known as Blue 1, or Brilliant Blue FCF, and is, unlike my comments under the question, a synthetic dye. It is a dye that can be consumed by humans. It is not defined as a redox dye (indicator), so should not react to changes in pH, but it is derived from Methylene blue which does change colour from blue to clear in it's reduced form.

I cannot provide a definitive answer on why the dye appears to have broken down but the probable causes are a reaction to the plaster, air, sunlight, or a combination. Nor can I suggest how to stop the colour change once it has started.

What I can suggest is to use dyes purposely manufactured for use with gypsum, limestone, or portland cement plasters. There are quite a few colours available, such as blue, and can be easily obtained from building supply stores and websites. The link I provided is for the UK, but I'm certain that they are available world wide.