Fresco remembers recent swatches for specific files. You can't create a swatch library in Fresco.
What you can do though is create groups of five colours in color.adobe.com and they will become available in Fresco as Colour Themes. If you want to request this as a feature your best option would be to add a comment to another post on Fresco UserVoice.
Or create a new post if no-one else has already requested this feature.