How do I change the color of the "You did not answer all questions"

The sentences of the messages can be edited using the button 'Submit All Messages' under Quiz Preferences, Settings. But there is no indication of the used Object Style used for those messages, which is necessary to edit the colors. For all the default messages in quizzes without Submit All the style is linked tot he sentence under Quiz Preferences, Default labels. It will be trial and error to find out which style is used for the Submit messages. It also depends on the choice for Shapes (default) or Captions. 

Honestly, cannot give you a definite answer.  I would start with trying the Hint style, either for shape or caption, under the Quizzing categoryin the Object Style Manager. You could also try a quiz without Submit all, using the same theme, and try to find the message having the same style. There is no dedicated Object style for the Submit All Messages.