Yeah, Airtable’s lookup fields will convert your single-select field to an array, so you’ll have to manually create all of your coloring criteria from scratch.
You may want to bring up this issue to email@example.com, so hopefully they can improve this behavior in the future.
As @ScottWorld said, there’s no default way to do this.
However, there is a workaround that, while a little clunky, definitely will accomplish what you’re looking for. It requires setting up an automation that watches for when a record is linked, and then copies the linked color to a single-select field in the same table as the desired calendar view.
Here’s a quick walkthrough I recorded on setting this up for your base.
Hope this is helpful,