I think colored lights are a great idea that has been suggested many times before. This time is different though because the last few snapshots show they are updating the lighting engine. F3 now shows a client light on top of server light. I'd add color to jack o lanterns and Redstone lamps as well.
As for the technical side of this, I don't think it would affect server performance by much. Lighting itself would likely need to be stored with 3 bytes instead of 1. Bytes of Red, Green, and Blue. Servers could have options to monochrome this if it did make things lag, but more importantly clients could have a monochrome option for lighting and will use the highest value of RGB as the light level.
The tricky thing would be finding color balance with between colors and how would black and gray lights work, perhaps they would be low lights.
Anyways ignoring technical side of this, I'm not sure about the throwing and damaging using lights, that idea is very similar to fireworks, which in the next update can be fired from crossbows. I wouldn't mind a torch throw to explore a cave or a pit though.
Anyways the building aspects of this idea has always been great, but I don't think it'd fit in combat.
My impression is that the OP is suggesting a decorative item that would appear colored when one looked at it (more or less a "half the size of a player head or smaller" version of what one currently gets by encasing a light in glass). [Note that the proposed light level of 7 ("the light level of a redstone torch") is insufficient to stop mob spawning, further suggesting this is intended as a decorative item.]
That point is important because it avoids all the technical issues of introducing colored light (as opposed to colored lights).
Colored lights (eg objects like Xmas lights) should be fairly simple to code whereas colored light (a phenomena) would be far more expensive in terms of performance. [If the light was colored, each block would (theoretically) need to be rendered to account for the interaction of the color/spectrum of any light source that reached it and the reflectance spectrum of the block qv. https://en.wikipedia.org/wiki/Reflectance . Breifly, a red object will appear black when illuminated by a light source that contains no (or very little) red. ]
WRT the Xmas light style interpretation of the OP:
I'd suggest avoiding the animation as that might tend to be overly lag inducing…
Also, it would be nice is the item had no collision box (like signs or torches) so that one could pass freely through the decorations.
Making the light appear to float in the block it occupies (rather like a conduit minus the animation) seems a desirable option. Rather than requiring that the light remain attached to another block (like signs and doors), colored lights could be allowed to remain in place if the block against which they were initially placed is removed (like most blocks). [This might require multiple forms of the item image to be stored as is the case with fences/bars/panes, but the 'cool factor' would – IMO – justify the expense.]
Otherwise, (while I don't see myself making extensive use of such an item), I don't see any particular issues with introducing such.
Not one of my priority adds, but… modest support.
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WARNING: I have an extemely "grindy" playstyle; YMMV — if this doesn't seem fun to you, mine what you can from it & bin the rest.