I was able to partially reproduce the problem, but every time I tested I was able to just click the IDE and the color picker showed up.
Maybe there are 2 things happening?
If I understand Normal correctly, he wasn’t able to make the color picker show and only got beeps every time.
This is what I get:
I think is not clear enough, after selecting Insert Color… nothing shows until I click the IDE and then the color picker show.
In that video, it looks like Feedback is in the foreground when you right-click and select Insert Color. If thats the case, then the behavior you are seeing is expected as the color picker is a child of the IDE.
Greg, I did the test again with Safari in the foreground and I get exactly the same behavior:
From what Norman posted, I read that he was not able to bring the Color Picker. I don’t understand why in my test, just clicking the IDE, the Color Picker show up and not on Norman’s computer.
Welcome to the wonderful world of tracking down Feedback reports 
I tried opening another workspace, having several projects open, overlapping and not overlapping another window.
I didn’t mention and Richard already added to the case, that the Xojo icon on the dock starts bouncing and clicking on it also bring the Color Picker up.
Fixed.