Tom,
In order for the text (and dimension lines) to show up in color in the PDF export, I selected standard colors and not system colors in the Format tab. The image in the lower right is a snippet from a PDF export and shows the .125 in blue and the 100.0° in black, because I changed the .125 to a standard color (I didn't try other system colors). Now, I have to figure out how to keep the standard color configuration turned on so I don't have to select this every time I make an annotation.