Colored output in adb, e.g. for ls command
As you can see from the screenshot, you can definitely get colored output in ls on android.
(side note - I've got some bashrc magic running so the default ls output is ls --color=auto)
Probably you're either running ls in a sh shell and not bash, you've got a watered-down OEM version of ls, or there's some strange magic happening between ADB on Windows and the linux terminal.

What device/android version/ROM are you running? What output does ls --version give?