Likely costs. It was probably much cheaper to use black and white film stock. Plus, this looks very experimental, and experimental usually means expensive to produce consistently.
Still, it's an amazing example!
According to a video on Youtube, this may be the oldest color film footage from 1901/1902:
I tried to make a deal with the Devil, once. Turns out I didn't have anything he wanted.
You will never find a more welcome hive of love and humility.