I believe they affect the color of the faction clothing, and some of the faction buildings. Try setting it to ridiculous colors like bright green and bright orange, start the game, and see what the clothing on trained units looks like (easiest in the design screen, where you can switch between different clothing items to see what each color affected).
Also, if you do that, I really do recommend using colors that contrast strongly and aren't the more common browns and tans that most of the stuff in the game normally uses.
