They have their own unique colors, which is basically like the frequency/wavelength(i think) to changing colors.
You can buy LEDs from other sources and put them into your sabers. You just need to do some soldering/rewiring.
For example, I just bought 10 RGBW LEDs from amazon for cheap, which I plan to fiddle with. US told me if I wanted to buy an RGBW from them it would be $80(includes the module). In my opinion that's not worth it when I can buy the same type of LED just with slightly different colors for more than half off. Here's what I bought:
https://www.amazon.com/gp/product/B00NPXCEUS/ref=oh_aui_detailpage_o00_s00?ie=UTF8&psc=1Unless you already have the module, which is what holds the LED and heatsink in the saber, you need to get that as well when buying an LED from a 3rd party source.