I think it is largely a matter of personal pref. If it was done correctly, you have a good hard surface, which was the original intent for case hardnening w/the colors being secondary, but oft quite decorative in any case, so a cosmetic design element that is/was appreciated in its own right. Unprotected use will result in a shiney almost plated finish appearance over time that is not without its own appeal and so I would say if the colors are attractive to you then protect them and if they are too muted or too vibrant for your taste then let them be worn off from use over time by not applying a protective finish or overcoat. Laquer is easily applied and just as easily removed or renewed. Too, predicated on the action/gun itself and the and the colors themselves may influence your decision. I personally think that some of the more unadorned highly polished surfaces provide the best 'canvas' for color case hardening, e.g., old field grade Elsies and with their gray fields or splotches against a muted blue finish, but the blue was bright when they were brand new and unused. Up to you to decide what has best appeal, a long way 'round to say, 'depends', but perhaps it helps in some small way to have the factors for decision making layed out.
There is a full spectrum of colors, patterns, methods and formulas and each has its proponents. Some were protected with a laquer finish being applied and others were not, only being oiled or perhaps waxed. I would THINK that a clear Varathane or one of the urathane (sp?) finishes would provide the best wearing protective finish, but it might also be much more difficult to renew. I have never tried to use it in that manner. Early cased P-guns had an attractive color, but it wore quickly. Later ones had a gloss laquer finish applied and I thot it made them look a bit cheesey, but it certainly kept them protected a bit longer ... unless one used any of the trichlor 1-1-1 cleaners like Gun Scrub or brake cleaner which instantly removed it and then the color almost disappeared before your eyes causing some to swear the colors were painted.