To color symbols, you'll need to turn on Symbol Coloring:
View > Symbol Coloring > Enable Symbol Coloring
To customize symbol colors. The "Symbol Type" name for a C/C++ #define is "Preprocessor macro"
View > Symbol Coloring > Customize..
To turn on Symbol Coloring for all files in a particular language mode:
View > C/C++ View Options > [ check ] Symbol Coloring
I hope this helps, I am a little confused by this thread because you identified Symbol Coloring in the subject line, so I may be telling you things you already know, if so, please clarify or post a code sample and explain what is happening compared to what you expect to be happening.