When you create or change a paragraph style, in the window where all the formats of the paragraph style are listed, you can change the character color, you can also create a new swatch by double clicking on the fill or stroke color icon. But once the new swatch is created, you can not imediately select it for your paragraph style, you have to change the category in the window (for example go to underline options), then go back to character color to use the new swatch.
Instead it should be that when the create new swatch dialog is closed, a refresh of available swatches appears in the list of character colors. By the way, in ancient Indesign versions this worked.