An old friend of mine owned a palomino gelding. He had good bloodlines and both his dam and sire were registered except for him. The registry doesn't accept palominos. I have no idea as to the reasoning. I would think it might be because they consider less pure?
Either way I don't see why it would matter since he wouldn't be breeding but that's part of the game I guess.
If you were to spend that kind of money on a warmblood, I would personally stick to a more "typical" color where he/she will have a better re-selling value and won't be under-judged in the show ring.