How to power a scanner light with adapter, not battery?
From the ugly photos they appear to be about 1W which in my books makes the ESR ~1/1W= 1Ω above the threshold voltages.  RGB are usually rated ~ Vf= 2.2V, 3.3V, 3.1V + tolerance . I suspect your power supply shut down as it might see a >6A load with the exception of Green which tend to have a higher ESR than others.

Meanwhile the 9V battery has an internal ESR that limits current to a few Amps to 1A depending on quality of Alkaline. 

To make this work better you want a supply voltage between 1 and 2 x the LED voltage and compute using Ohms Law the difference voltage / R= 330 mA for a ballpark current level.  If it burns your finger, you have 2 choices. make a better heatsink or increase R to reduce the current.

Thus with 5V >2A supply you can use for RGB   


5V minus {3.3,3.1,2.3V}/0.33A = 5.2Ω , 5.8Ω , 8.2 Ω  in 1W ratings.
if unsure, get a variety of R's in this range.
if you get ambitious use 5V with three LM317 as a constant current source and compute I from 2.5V/R=Imax for each LED.  Be prepared to heatsink the TO-220 cases or get hot.
one can also use 3.3V supply and smaller R's


but 9V is overloading the supply and your tried R's that were too big. If you did try 10 Ohms it would get hotter than the LEDs.