Kirk, Bruce,
Capture NX has a feature called labels (0-9) with fixed colors assigned to them (you can rename them though, but not change the color AFAIK), but I guess it's completely different from what PM or Adobe uses and/or writes the label information into a totally different field.
The newly released Nikon ViewNX (free download) supposendly has the same rating feature (0-9 with fixed colors attached), but should be compatible with Adobe Bridge (and therefore PM). But as I found, even with Nikon ViewNX it creates problem as some label changes in PM are not recognized by ViewNX (and vica versa). And even ViewNX is not compatible with Capture NX. But the star rating in View NX seems to work fine though.
There is an supposed update comming for Capture NX with the new cameras they release, and it's to hope they change this flaw.