Yup, you can't specify colours/bold/underline in the options dialog.
You could just make a /cq (colour quit) alias, or name it something else easy to remember, that sets a default colour quit message. For example, type:
/alias cq quit 4my quit message goes here
...etc. Remember, if you find /q easy to remember that, by default, mIRC already has a /q alias for the /query command. If you don't use this, you may wish to go over it.
Alternatively, you may wish to alias over the /quit command, and then remember that when you want to do a non-default quit message you must use /!quit <message>.