I think current color of a GtkColorButton should be selected in the GtkColoroChooserDialog which is shown when the color button is clicked.

Following patch improve the behavior.

diff --git a/gtk/gtkcolorbutton.c b/gtk/gtkcolorbutton.c
index 7ad5cd5..894ccdc 100644
--- a/gtk/gtkcolorbutton.c
+++ b/gtk/gtkcolorbutton.c
@@ -618,6 +618,8 @@ gtk_color_button_clicked (GtkButton *b)

   gtk_color_chooser_set_use_alpha (GTK_COLOR_CHOOSER (button->priv->cs_dialog),
                                    button->priv->use_alpha);
+  gtk_color_chooser_set_rgba (GTK_COLOR_CHOOSER (button->priv->cs_dialog),
+                              &button->priv->rgba);

   gtk_window_present (GTK_WINDOW (button->priv->cs_dialog));
 }