SEM is only capable of producing black and white images. The color you see in the image above, and any image that purports to be a “color SEM” is a fake. The color is artificial, and was added later as a result of a program or simply adobe photoshop. SEM works by simply firing electrons onto an object, and then detecting the secondary electrons that are ejected from the object. Future SEM may possibly have color through taking energy distributions of ejected electrons from known materials into account.
Another fact that is not well known among the public at large is that the insects you see in SEM pictures are not alive. They have to be carefully prepared by adding a conductive layer of metal through sputtering, and removing all moisture. Sometimes the insects are even frozen in preparation for SEM.