How do I keep from losing the color when I "Convert Shapes from Vector Layer" in AfterEffects?
It could be another path within that layer in the Illustrator file. Check there first and make sure there isn't a mask of any kind.

You can also try looking in the layer within After Effects, click the Contents dropdown, and then the Group dropdown, and check for another Group under your paths. If you see another Group, change the visibility for the Group to see if your shape color returns.