I really really really did not like Cheese Sandwich. His mane and tail bothered me the entire episode because it is BROWN. I just didn't believe in him as a party pony, even when he was being a party pony it didn't ring true to me which is weird considering the voice actor. His colouring really bugged me the whole time, okay yeah the colour of (american) cheese? I guess?
He just didn't work.
Pinkie was of course wonderful.
I think he was brown maned because Weird Al has brown hair, and they wanted to keep a resemblance to the VA. There's a screencap I have here, from the episode, that shows Weird Al as himself from the 1980s, but as a pony. It was in the lineup scene here (I circled him in red):
So that's why I figure they kept the coloring simple.
Also, I loved that, since Weird Al's stuff from the 80s is still my favorite.