I think VA X colors each window created by VS (probably having one of selected classes). And they have an exception list not to color some windows - remember colored memory and watch windows in early betas?
Cezariusz is correct. We intercept the control used for tooltips then check a list of exceptions to decide if we should not color. Though you would think checking a list of positives would be simpler, it's not the case. We do not have control of the entire IDE. We simply do the best we can within the environment.
Tell us about other coloring mistakes as you find them.
Also, the "Add Member Variable" dialog, there are tooltips for the various edit fields which are nicely colored. Probably all the other "Add whatever" dialogs too.
Tooltips for links to websites in the source (or any other file) are colored too. When you hover over a link in any file, VS.NET will pop up a tooltip showing the link and the text "Control + click to follow link".