Thank you for reaching out to Community!
It’s possible to create a quick filter for the epic color, but it won’t filter because Epics has its own panel on the left side and it’s not listed along with other issues in the backlog.
On my local site, the JQL that worked to filter the epics by color (on the Filters’ general page, not the project) was "Epic Colour" = ghx-label-13 and not Color, so you can use the option to filter Epics on Filters > Search issues.
There is a feature request suggesting improvements for filtering Epics:
Please, click on vote and watch to receive updates about the feature.
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