I have set up categories for events in Korganizer. I have assigned colors to each category. I see the color assigned to the event. However, when I exit Kontact and come back again the color for the category is lost. The events still have the category selected. I can define the color for each category again but the same things happens if I exit the program and start again. Where is this configuration options stored? Any suggestions?

Looks like a bug to me. You may want to file a bug on bugs.kde.org.

Bug 333754 already report. Workaround given does seem to work. Hopefully it will be fixed eventually