According to the source code of Perl-Critic-1.116, you need to have Term::ANSIColor version 2.02 or later for colorization. I believe that version provides a mechanism for validating your custom colors, which perlcritic wants to use.

If I remember correctly, only the severity 4 and 5 violations are colorized by default. So if you only have severity 1, 2, or 3 violations then you won't see any color. Unless you use --color-severity-(medium|low|lowest) to change the default colors for those.