Attached are screenshots of two sets of various armor types with identical enchantments: one with assorted colors applied, and one without. You can see that it applies to the item in the inventory, but they both appear identical on the character. As far as I can tell this applies to all equipped items (elytra, pirate hat, etc.) and all rune colors, but not to held items. Held items have the custom shine properly applied, including armor.

This happens if you have optifine.