Calendar configuration - employee profile
Each user can override the company settings with their personal settings
Go to User profile (bottom-left corner)
Choose 'Own' user sesttings
Under the 'Use color to show..' option, choose the option you like.
Calendar configuration - the organisation (for Admins only)
As an Admin you can change the configuration for all users.
Open Configuration → Account settings → find 'Use color to show' option
Choose the option you want