Does a person playing an illegal Draw 4 in Uno still get to pick the color?
As per the (2008) Rules sheet from Mattel (emphasis in second paragraph mine):


  Wild Draw Four Card - When you play this card, you get to choose the 
  color that continues play PLUS the next player must draw 4 cards from 
  the DRAW pile and lose their turn. However, there is a hitch! You may 
  only play this card when you do NOT have another card in your hand 
  that matches the COLOR on the DISCARD pile (but it is acceptable to 
  play this card if you have matching number or Action Cards). If turned 
  up at the beginning of play, return this card to the deck and pick another 
  card. 
  
  NOTE: If you suspect that a Wild Draw 4 card has been played on you illegally (i.e. the player has a matching card), then you may challenge that player. The challenged player must show you (the challenger) their hand. If guilty, the challenged player must draw the 4 cards instead of you. However, if the challenged player is innocent, you must draw the 4 cards PLUS an additional 2 cards (6 total)!


The takeaway from this: Since the penalty on this states that the challenged player draws 4 cards instead of the challenging player AND since the rules never state that an illegally-played "Wild Draw 4" card is taken back, the card remains on the discard pile and the declared color remains in effect. This means you can't prevent an unfavorable color change from an illegally-played Wild Draw 4 card.

Official Uno Videogames handle this the same way: the Wild Draw 4's declared color remains in effect (at least one version recolors the Wild cards after a color's been declared to make it clear what color the top card is).

Some rule revisions, such as the 2003 Rules Sheet from Mattel, also specifically refer to playing a Wild Draw 4 while still having cards matching the current color as bluffing.