Done, here is the bug report: https://bugs.freepascal.org/view.php?id=39155
As explained to you by wp, this is not a bug.
As Lazarus tries to use (by design) native dialogs (as in: native to the underlying OS/widgetset), it simply displays the normal colordialog that Windows provides.
And you cannot set the title of that dialog.
I therefore resolve this bugreport as "no change required".
Please close it.
W.r.t. TOpen/TSaveDialog: Windows (and most other widgetsets) let you specify it's title, since the dialog can be used to select one or mer files and then do with those files (actually the filenames) whatever the progeam sees fit: open them, displaye the names in a TMemo, send the names to another process, upload them to somewehere else etc etc. If the dialog would alway have the title "Open" then this would not be correct in most of these scenario's.
Bart