The first thing you mention is probably a bug. I haven't been able to look at the file you sent, so there's no fix yet.
About colouring provinces: the colours your draw in the PSD file are not actual colours used in the game: they are solely used for identification purposes. That's why you can't use whatever colour you want. As for visuals, you can only draw shading: how dark or light a pixel will be, but that's about it.
EU2 colours the province according to the terrain you've assigned to it: this is defined in provinces.csv, and the colour is taken from colorscales.csv. In effect, there is no colour information in the map files.
Is that a bit more clear?