I just tested in Linux. Setting the color to clMaroon at design time worked both in the IDE and at run-time (which doesn' happen with e.g. TCheckGroup).
Then I added this line to the form's OnCreate handler (rgOptions is the radio group):
rgOptions.Font.Color := clNavy;
and it worked also, as can be seen in the attached image.
Couldn't test on Windows, so YMMV.