The Font.Color of TRadioButton (which is used internally inside a TRadioGroup) is drawn by the widgetset and is often out of control for the programmer. In themed Windows, for example, you cannot change TRadioButton.Font.Color. Search in the forum - there was a recent discussion about this issue.
What you can do is to look for an owner-drawn RadioButton, e.g. the TplRadioButton from the package pl_excontrols which you can install via Online-Package-Manager (the button symbol is a bit smaller, though, I don't know if there is a way to increase it to the normal height). Probably there are other packages around out there which do it better.
You can combine these individual RadioButtons inside a TGroupbox and get the same appearance as a TRadioGroup.