Gephi reads edge color according to the source, however the default behavior is to color edges according to the node source.
Go to the Viz options at the bottom right of the viz. If you don't know where it is, please follow the Viz tutorial.
Go to the Edges panel, then deactivate the "Source node color" option.
You should see the true colors now. Otherwise please report a bug.
All questions about the GEXF (see http://gexf.net before)