Issues with the Colour Range Keying tool in AE

Your workflow is simply not the right one. In order to selectively change stuff you need to create mattes as already laid out. All your colors can easily be separated by e.g. using a Shift Channels effect referencing the Blue channel and then being further adjusted with a Levels or Curves effect to separate the light and darker blue. once you have that matte you can easily use it to restrict other effects like a simply Hue/ Saturation.

Mylenium

Keying/ keystoning means removing the color you select. Nothing wrong there. You have a wrong understanding of what the effect does and your video even illustrates this. You are simply instructng it to remove everything, while otherwise it's working just fine and retaining the colors you didn't pick. In order to change those you apply another effect like Hue/ Saturation. That aside, as Rick already said your workflow is less than ideal. If you really want to manipulate your artwork in a clean manner it would be best to create all the necessary mattes in pre-compositions and then apply them to your main footage so the individual regions can be processed separately and the mattes be re-used by simply duplicating layers. In any case, start by reading the online help and watching some tutorials on some basics.

Mylenium

You will need to use multiple copies, throw in some color correction, then use the keyed layer as a track matte to isolate the colors. 

If the original artwork is a Photoshop file or an Illustrator file, it would be a lot easier to separate the colors into different layers using those apps.  You probably also want to use Keylight after some color correction. It will give you far better results than Color Range.