Not sure if this is too late, but Pro/E will only color by surface. I use this frequently to show machined surfaces as well. A work around would be to cut it really small (.0001 cut) and then color the surface. Hope that helps.
Sure, no problem. First, View>Model Setup>Color and Appearance. Select a color from the Color Palette (if no color available, select Add, click on white color button, select color wheel, pick a color, and close). Select OK at the bottom, Set object appearance to Surface, and then select surface you want colored. I usually color the part and then use white for the machined surface.