the store you bought the shrimp from most likely had the shrimp mislabeled.
i am fairly positive that your shrimps are not changing color. if anything, they might have lost some of their color during transportation but that same color should come back once they have successfully acclimated to the new tank.
here's a link to some common shrimp mislabels and misconceptions.
http://www.planetinverts.com/Babaulti Complex.html
you look like you actually have many different types of shrimp so you are quite lucky to have such a variety from one shop.
is this shop in california by any chance?
and as a side note, i would look through each shrimp species that you have and look at the water parameters, depending on the shrimp, they may have different water needs. did the store you bought the shrimp from have a clean tank with no dead shrimp?