Can a creature with protection from all colors be targetted with a damage spell when it is still on the stack?
NO, you cannot.
From the comprehensive rules:

302. Creatures
302.1. A player who has priority may cast a creature card from his or her hand during a main phase of his or her turn when the stack is empty. Casting a creature as a spell uses the stack. (See rule 601, &quot;Casting Spells.&quot;)
302.2. When a creature spell resolves, its controller puts it onto the battlefield under his or her control.

Only when the spell resolves is the creature actually on the battlefield. You can counter it, because while on the stack that creature isn't actually a &quot;creature&quot; but a &quot;creature spell&quot;.

114.2. Only permanents are legal targets for spells and abilities, unless a spell or ability (a) specifies that it can target an object in another zone or a player, (b) targets an object that can't exist on the battlefield, such as a spell or ability, or (c) targets a zone.

You can only damage a creature when it is already on the battlefield. Because that creature has protection from all colors, you cannot target it or deal damage to it with colored spells.