The ZM-RHS1 does come with Zalman blue or silver colour. These are the 2 stock colours.
See 'Technical Details' here:- http://www.amazon.com/Zalman-VGA-Ram-Heatsinks-ZM-RHS1/dp/B0009YIJ2I
These little heasinks also come in red when they are supplied with other Zalman coolers.
Eg VF3000A (http://www.zalman.com/ENG/product/Product_Read.asp?Idx=385)
Eg Fatal1ty FC-ZV9 (http://hardwarelogic.com/articles.php?id=5199)
The discontinued Zalman ZM80D-HP cooler also came with silver colour heatsinks. (This leads me to believe the silver color is the original color and the blue is added later on).
Lastly, Zalman states that the difference is the color only and does not affect performance.
See 'FAQ' here:- http://www.zalman.com/ENG/product/Product_Read.asp?Idx=136
I hope these info bring some consolation to you.