What do the different colours of sound mean?
In Rhythm Thief and the Emperor's Treasure, you can collect various sounds as you wander around. They get used for little quests, and for making the Master Instrument.
I have noticed that there are 4 colours of sounds - red, yellow, blue, and green. Does the colour have any significance?
Nope. It's just a rough category. You can see Yellow has all the animal sounds, while blue has mostly ambient synthetic/mechanical sounds.