Ashura likes dark blue because it's the colour of Yasha's eyes. ;o;
Mong Ryong likes light blue, since it's the colour of the sky on a lovely day! It's also the colour of Chun Hyang's eyes and I would say that in older times, it symbolised female purity and virginity, but that doesn't seem to have been the case in Korea.
Kujaku... really shouldn't have purple as his favourite colour. But he sure wears it a hell lot. I'd say he doesn't have a preference.