Higher resolution images are coming, and some will have better shadows that will reveal more detail.

Did they capture color or just not enough light for that?

They did capture color. Ultima Thule is red.

https://www.space.com/42878-ultima-thule-new-horizons-first-...

Usually comets look gray even in color pictures.

True-color image of comet 67P/C-G: https://i.imgur.com/wVMkBOV.jpg

There was a low-resolution colour camera and a high-resolution black-and-white camera. But the colour information isn't very interesting: https://en.wikipedia.org/wiki/(486958)_2014_MU69#Gallery

Chances are they did (we know they did for the Pluto encounter), but right now they're prioritizing the most potentially scientifically interesting images as it's going to take 20 months to download the entire data set.

In time. I hunted a bit for something to mention how long it'll take to get all the data, and found: http://www.planetary.org/blogs/emily-lakdawalla/2018/what-to...

>As MU69 is substantially farther from Earth than Pluto was, the data downlink will be slower; it’s expected to take 20 months, conveniently wrapping up around the end of fiscal year 2020.

If you're interested in following these things, the Deep Space Network Now page [1] is a fun one to keep bookmarked. It displays the real time status of each DSN station and what spacecraft they are communicating with. [edit] you'll want to click on "more detail" on the lower right to see the technical information about the signals for each antenna.

Right now, Canberra has both an uplink and a downlink going to New Horizons.

Even more fun is when they get a downlink from one of the Voyager probes. The signal strength is so incredibly small, it's testament to very skilled engineers developing the signal processing they use.

[1] https://eyes.nasa.gov/dsn/dsn.html