An Enum is more or less a type declaration with members that are aliases to numeric values.
In the example from your question, the Color type is a Structure (a value type), and the different options you see for available colors are actually Shared Properties defined in the Structure. The reason it is done this way and not as an Enum is because the Color type is not a numeric type.
For example, if you wanted to make a Color class of your own, it would look like:
Public Structure MyColor
Property Red as Byte
Property Green as Byte
Property Blue as Byte
Sub New(r as Byte, g as Byte, b as Byte)
Red = r
Green = g
Blue = b
End Sub
Shared ReadOnly Property BrightRed as MyColor
Get
Return New Color(255,0,0)
End Get
End Property
End Structure
In the above example, BrightRed would show up as an option when you type "MyColor." in the code editor.
Enum.