I'm afraid this is not possible because the caption is still drawn by the widget set, and there are restrictions regarding color in some widgetsets.
As a work-around you could
* clear the radiogroup's Caption
* add a TStaticText (not a TLabel) to the form (not to the radiogroup)
* move it to the top/left corner of the radiogroup so that it looks like the original caption.
* Change the font color of the TStaticText as you need.