I've noticed that if I color the lines within a sketch, that when I exit the sketch, sometimes the colors are still showing and other times not (all just gray). What determines if the colors still show or not?
The colors of sketch curves indicate their constraint status, which is only relevant when inside the Sketch Task. Once you leave it, the colors revert to what the default is for a sketch object.
You can change the color of the entire sketch for viewing outside of the sketch. This should be done after finishing the sketch, right click on sketch, edit display.