How can I set the color of the format headers.

I am going to venture to answer this in a way you do not want to hear. I do not believe there is a trivial way to change the default color of heading1, heading2 and heading3 or any of the format options. The only option is a touch complicated and involves using CSS.

If you put a change to CSS in the template content of your site, you can adjust this ... but, it could affect some other headers on your site that you are not expecting to change.

To make the change, go to your site template. Edit the template, by selecting Add Content. Under Add Content, select the "Advanced Content" option. Then, enter the content listed between the lines below:
--------------------

<style type="text/css">
h1, h2, h3 {
color: black ;
}
</style>

--------------------

The advanced content entry you are adding will not turn out visible on your site, but, it must be set to visible, not hidden. Though its content will not show up on the site, it will probably change your headers to black.

There are situation that this will not work. It will depend on other features that are in use on your site that may be override this declaration. However, it is a high probability that this will work.