No need to group the point with same color,see example as below
GraphPane gp=ZedGraphControl.GraphPane;
PointPairList pointXY=new PointPairList();
pointXY.Add(1,1);
LineItem point=gp.AddCurve("Label",pointXY,YourColor,SymbolType.Circle);
then a circle symbol will be plotted, you can fill the circle symbol with your target color