Forum Moderators: not2easy
Coloured scrollbars are not part of the CSS1 or CSS2 standard. They are proprietary IE code, meaning that only IE5+ browsers will render any scrollbar colouring.
This is probably a very good thing, as there are inherent usability problems with author specific scrollbars. Also, don't forget that many variations of Mozilla and Opera browsers have non-grey scrollbars - indeed, depending on the skin that the user has, these vary widely.
HTH
Perception
Users (primarily Microsoft users - which, to be fair, make up the vast majority of your Jane Soap web user) are accustomed to the pale grey scrollbar. They are an integral part of their desktop systems and applications, and this extends to the net. By changing this you are disorientating the user from their perceived norm of scrollbars.
Focus
The scrollbar is considered as a peripheral element, that is, that the user never really focuses his/her attention on it. While heavily used, the scrollbar is never really considered by the user. By changing the colour of a scrollbar, you are causing the user to focus on it. By doing this, you are removing focus from the most important thing on your page: your content.
There is some research study here [markroseman.com] (PDF) that goes into more detail.