For convenience sake let’s say you have 2 identical lasers, one is blue and one is red. And you shine it on lead (so none of the light leaks through) until the lead doesn’t heat up anymore. Would the temperature change at all between the different color lasers. It doesn’t have to be red or blue, it could be microwave or x ray, just different colors is nessisary.
Red light will generally carry less energy than blue light, so if you want a red and blue laser with the same power output, you need more intensity on the red laser.
Also the colour affects how some materials absorb the energy. A material that is good at reflecting red light won’t heat up as quickly from a red laser, for example.
Colour just means different wave lenghts of light. So x-ray is a different “colour” from microwave.