It would be wonderful if the color of the text was retained when you saved the SAS log as an RTF file using "Save As" or PROC PRINTTO. It looks like there might be some ways around this by editing configuration files but I think it should be the default behavior or at least an option the user can change when in the program.
There has been some discussion about this in the past:
https://communities.sas.com/t5/Base-SAS-Programming/Preserving-Color-Coding-in-Log-Window-when-savin...
https://groups.google.com/forum/#!topic/comp.soft-sys.sas/SkTR6bmBSEk