Ah, that's a different color.
When you long press an account -> assign color, this only changes the "color clues" for the account in Aqua Mail.
To assign Calendar colors, please:
Long press the account -> options and folders -> Exchange options. You'll see the list of your calendars (bottom half of the list).
Tap one to change its color (can be different from one calendar to the next if the account has more than one).
