I reported lost label colours just the week before last and then emailed support.
Jeff kindly asked me to check the View > Use Label Colours in > Binder and bingo! My colours were back.
Just now, though, I used El Capitan’s Split Screen mode and lost them again.
Just thought I’d report it.
Did the setting to use labels revert because of Split Screen the other time, or was that something else, and does it happen every single time you try at this point? Something else I’d ask, given the nature of what you’re describing: is there anything unusual about where the project is stored? For example is there a third-party program that is constantly reading and potentially changing the project even while Scrivener has it open, such as Dropbox or a backup service?