Because its vapor, which is just water-as-a-gas - and Im guessing (educated guess lol) thats its because the molecules of color in the
juice (flavorings have color) arent supported in the molecules of vapor which would have to do with size and whether or not they are too heavy to become gaseous.
You can see this if you boil something colored, or boil something in water which contains color; no color escapes into the steam and you don't dye your kitchen different colors several times a day if you're cooking beetroots or carrots (both of which CAN stain skin when cut or eaten excessively).