I have come to the same conclusion while doing a bit more research since posting the question.
Perhaps this is a shortfall of Access as it would seem I now need to do a bit more code writing to make a dialogue box do the same thing as a MsgBox, when all I wanted to do was change the colour!!
The problem is that the colors of the message box come from the system's pre-defined color scheme because the message box is obtained from a link to a system call (of sorts.) You can change the color of the box only by changing your color scheme. Very ugly to do.