where are the color effects located in Captivate 9?

Only effects that are totally compatible with HTML5 output and responsive design are now available right away from Captivate. The other effects are indeed only available by browsing to them in the Gallery.

C:\Program Files\Adobe\Adobe Captivate 9 x64\Gallery\Other Effects

You can only access them via the small folder icon to the right of the Applied Effects List drop-down in the Timing > Effects area.