No -- the underlying data structure doesn't allow it.
Most people rely on a naming convention instead. That needn't be a prefix -- if you use a suffix and Search Strings you'd only see macros with that suffix, kind of like looking in a subfolder:
No, but you can include emojis -- including coloured squares (and other shapes). See screenshot above.
Well, KM is a macro program
At its simplest:
Load the Clipboard with a coloured macro icon
Select the first macro in the Editor
Repeat number-of-macros-times
Tab
Paste
Shift-Tab
Down arrow
End Repeat
Small trick used by me to grouping/sorting macro groups: I start macro group with iconic character, for example Ξ (greek capital letter Xî), after it space and real name of group. This way all my groups are in the bottom of group list. But you can use other characters, f.ex. ⴲ, ⊙, 
For a long time, I used to organise macro groups that way too, but recently stopped doing so because (1) it’s handy to be able to select a macro group (or at least land in its vicinity) by typing its first few letters when the focus is on the Groups list; (2) the icons that I use (sparingly) after some kinds of macro groups gave me enough context.
Of course, it’s a matter of individual choice or need.