Outlook doesn't support it - not even the newest version - but at one time, there was a 3rd party utility that could do it. I don't know how well it worked or if its still available. I'll see if I can find it.
If you are only using pop and IMAP, not it's not really worth upgrading. If you always get the perpetual version and think you want to upgrade, I would wait until the next version is released later in the year - but it won't have colored folders either. (The perpetual versions are feature-set to older Office 365 subscription builds.)