You are half way there when you tried the "Set Quick Click, which says When single clicking on the categories column, add the following category." You may have had the option to set a Ctrl Key( I did but I use 2010 ). But it will not show up for me again. But the following will work.
1.) So Now Right Click the event
2.) Scroll to Categories then Select "All Categories".
3.) In this menu you can assign shortcut keys to the colors.
4.) Just Select the Color then select your Shortcut Key in the bottom Right. (ei:Ctrl+F2)
Then anytime you select the appointment just press your shortcut Ctrl+F2 to change the color. Let me know if you have any other questions. If no other questions regarding this procedure please provide me a positive rating so I may get credit for the work. It was a pleasure assisting you today.
See screen shot below:
Were you able to add the Shortcut Keys?