Kevin,
I am running 4.5.3 of PM and using a D300 raw images. When I set the color class in PM then edit the file in Capture NX - the color class is reset back in PM. Is this an NX or PM issue?
It sounds like Capture NX is rewriting the file and is losing Photo Mechanic's soft-edits. These are usually stored at the end of the file. They can also be stored in IPTC data, so on the Files tab of the Photo Mechanic Preferences dialog, please set the "Add tag, color class and rating to IPTC/XMP" to "For all photos".
Then once you update your files (you could just toggle their Tag checkboxes or update their IPTC data with the IPTC Stationery Pad), the soft-edits will be stored inside the IPTC/XMP data which Capture NX will maintain through its edit process.
-Kirk