Hi Kirk,
Yes I'm pretty sure I'm using adobe settings in both places in PM (using the drop down menus and selecting Adobe Lightroom).
I've had a look at the original folder of RAF files and XMP files have been generated in Lr alongside the RAF files, the colour tags just aren't visible in PM. Ive tried it on another folder just to be sure - I colour tagged one RAF image and despite having an XMP file associated with it in the original older, the image is untagged in PM.
Hope that helps.