Are you sure about it?
Something tells me that the simple fact that a colored coin issuer can't control where his coins go to already makes it impossible for them to implement such restrictions on most jurisdictions.
Wasn't that the very reason ecash was dropped by banks?

But suppose it's legal. If I'm getting this right (and that's a big if, I confess I need to study this much more), in this new scenario MtGox-like institutions would emit colored-coins which could then be exchanged against normal bitcoins in a p2p, hard-to-track way. But to get fiat in and out, you'd have to go to your fiat-holder and then everything would be tracked as it is today. You'd still need to trust your fiat-holder not to commit fraud or disappear with your money, but, for sure, that'd be a harder coup to play than disappearing with your bitcoins.

So, we would no longer need to worry with "trade engine lags" and alike, and we would no longer need to store our BTC in a shared wallet. Any other big advantage?

Question: Wouldn't a p2p marketplace for escrows which do not hold your fiat be even better than that? The escrows only need to intervene when there's a dispute. But traders are still responsible for transferring funds to one-another, as in OTC. BTC-funds would be locked in 2-of-3 addresses, waiting for the fiat transfer to complete. No "bank-account to hold them all". If you have an API to access your bank account (think merchants) you can even automate everything, as the look-up for escrows could be based on deterministic criteria.