The problem is that I assign a color from the property editor at design time and when I execute it, it does not show me the selected color, but the default color.
I take it you mean the font color.
When I do this in design time the font color doesn't change directly. But if I move the panel the color did change. Try it...
So you need to repaint the panel on changing the color. Because you used a sub-property you can't use Invalidate directly but you need to reach TTestPanel from TTestColor. (not sure how other than giving an owner to TTestColor and using Owner.Invalidate)
Any reason you used a complete sub-property while you could have used a single FontColor property (in which you could call Invalidate). Are you planning to add more properties to TTestColor?