I hate to ask the obvious, but...
You've loaded your STL files to print and built it?
To print multiple colors, you will need to assign a different color to each imported shell (each STL import creates a shell).
If you have one part that needs to be multi-color, export the part as multiple STL files - a STL for each color with only that color's features enabled.
Use the Open Model Assembly to merge multiple STL files as one part with multiple shells.
Click each shell and assign different colors to them.
After you merge the STL files together, click the Build to generate a build.
After you get a build, the Save will be available.
However, it will not light up until the other toolbar options are de-selected (click any active toolbar options to de-select them)