MacOS – Can’t change color default folders yosemite 10.10.2

Goto your Home Folder > Library > Preferences and delete the files:

com.apple.finder.plist    
com.apple.sidebarlists.plist

If you can't find the files use this method: from the Finder menu bar, select Go > Go to Folder and copy the following line into the text box that opens:

~/Library/Preferences/com.apple.finder.plist

Then, restart, or log out and in again.

Edit

Select Go > Go to Folder and copy the following line into the text box that opens:

/System/Library/CoreServices/CoreTypes.bundle/Contents/Resources/

Here is where you will find all the sidebar icons -

Now you will have to manually change the icons for the respective folders by using Get Info on the folder that is in your sidebar and by dragging and dropping the icns file onto on the Inspector panel.

On iOS 6 and Office 365 - exchange calendars are fully customizable as long as you like the 7 default colors. :( - which means, you can't customize the colors on iOS as you clearly stated in the question

The only interface for changing colors uses the default picker - Go to the Calendar app, tap Calendars in the top left, scroll to the calendar you want to modify, tap the blue circle with the white > symbol and then choose any of the colors that are listed.

Perhaps an update to exchange or to iOS will fix this in the future, but you're not missing anything obvious. Even using alternate apps like Fantastical or Agenda on iOS won't help you escape the limited color palette.