What are certified synthetic colors?
The FDA recognizes 9. Here's how they put it on their official website:

Certified colors are synthetically produced (or human-made) and used widely because they impart an intense, uniform color, are less expensive, and blend more easily to create a variety of hues. There are nine certified color additives approved for use in the United States... Certified food colors generally do not add undesirable flavors to foods.

Clicking deeper, the FDA reveals the ingredients that are officially allowed to be called &quot;coloring&quot; on food labels.

FD&amp;C Blue Nos. 1 and 2, FD&amp;C Green No. 3, FD&amp;C Red Nos. 3 and 40, FD&amp;C Yellow Nos. 5 and 6, Orange B, Citrus Red No. 2, annatto extract, beta-carotene, grape skin extract, cochineal extract or carmine* paprika oleoresin, caramel color, fruit and vegetable juices, saffron (Note: Exempt color additives are not required to be declared by name on labels but may be declared simply as colorings or color added)

So these must be the actual 9 ingredients that are &quot;Certified Synthetic Colors&quot;:

FD&amp;C Blue Nos. 1 and 2, FD&amp;C Green No. 3, FD&amp;C Red Nos. 3 and 40, FD&amp;C Yellow Nos. 5 and 6, Orange B, Citrus Red No. 2.

The rest:

annatto extract, beta-carotene, grape skin extract, cochineal extract or carmine* paprika oleoresin, caramel color, fruit and vegetable juices, saffron

are not synthetic, but they can still be called &quot;coloring&quot; on the ingredient list. BTW, cochineal extract and carmine are made from powdered bugs.
Definitely, artificial colors like Red 40 are high on the list of &quot;scary because we don't know what they are&quot; things. I do find that particular labeling odd because &quot;Certified Synthetic Color&quot; is not exactly a household term.
*EDIT March 24, 2017
As of 2009, cochineal extract and carmine are off the &quot;natural colors&quot; list:

Until 2009, cochineal was one of many dyes that fell under the umbrella term &quot;natural color&quot; on ingredients lists. But because cochineal provokes severe allergic reactions in some people, the Food and Drug Administration requires carmine and cochineal extract to be explicitly identified in ingredients lists.
Aside from its role as an allergen, cochineal has no known health risks, although those who keep kosher or choose not to eat animal products will want to keep their distance. In addition to food, cochineal is used as a dye in cosmetics products, including lipstick, and at least one person has reported a severe allergic reaction to a cochineal dye used in a pill coating.

-LiveScience.com