This is a bug in OS X 10.7. The color well is there, you just need to make the sidebar wider to see the color well. You have long layer names. Rhino tells OS X to truncate the layer dropdown menu if it is very wide, but 10.7 ignores the request. See this thread for more 10.7 problems.
Either drag the sidebar wider or upgrade to a newer version of OS X. This works correctly in 10.8 and later.