You can style elements of a Rich Text block when this block is linked to CMS data. That’s a limitation for now.
But it’s easy to work around. As the video below show, you need to duplicate your Rich text block and unlink it from the CMS. It reverts to a default content Rich Text element. Create a link inside and look closely in the video how the selector for All Links is chosen, then how to click just underneath the selector box to limit the styling to the class given to the rich text element. Then change the color, then delete the default rich text element.