I agree but I'd go one step further than that and have most of the colour window functionality dockable under the palette too. (all the RGB,A,HSV values) It's slow to open a window, edit the values, then click OK to close the window each and every time you want to edit your colour. Especially if you're looking for a certain shade of colour you need to repetitively open the window to test the value.
These are minor complaints that I could see the yoyogames team ignoring though. They've already designed that fancy colour window after all.
But if we're talking about what should have PRIORITY in the UI then Brushes, Toolbox, Layers - all of these are less important than editing your current colour. And when talking about ease of use, docked items do have priority over things you open in a separate window. One is more convenient than the other in the realm of user interface.