Actually, in my wife's, each week is a different color.
Each of the first three weeks contain varying levels of hormones, which is why they're different colours. It's one of the many features used to help ensure that people use the pill correctly (along with labeling the days of the week, having the sugar pills even more distinguishable from the rest, etc.).
Really? I heard that menstruation was kinda...unnecessary. I know that the last girl I was with (and, yes, I'm sickened to say that) had an IUD, and hadn't had a period in 5 years, with no ill effects.
There really isn't any consensus about the long term effects of not menstruating due to hormonal contraception. Generally, most doctors believe its safe to skip it for several months in a row (hence the availability of three month cycles of the pill), but recommend four periods a year as a precaution.
Also, oral contraceptives affect everyone differently. Some have sensitivities to the regular pill, requiring the mini pill (which contains only progestin, rather than the standard progesterone + estrogen mix) and/or taking the one week monthly break.
And, of course, there are people who are concerned about the long term effects of skipping even one period.