If you zoom in on the image you might see a grid pattern of brighter and darker pixels at the pixel level. The colour is encoded in this pattern – it’s called a RAW image. SharpCap understands this and converts the image to colour before displaying it.
In order to see your saved images in colour you need to use an image viewing or processing application that understands RAW images and can recover the colour information (this is called ‘debayering’). For more information read this thread in the forums and this document.