Mulches should fade into the background and should not, ever, bring attention to themselves. Nothing like the garrish look many commercial buildings have with 3 Daylilies in a 6 x 6 plot surrounded with red dyed mulch, ugly as sin. A mulch should be inobtrusive, barely noticeable.
Theoretically the dyes used are vegetable based and do no harm to the environment, except visual pollution.

The dyes aren't generally a problem although in past threads some have posted evidence that the wood used in colored mulches is often recycled pallets and other sources of arsenic treated wood.

Given that the arsenic wood preservatives were banned for most uses several years ago I am not sure how prevalent a problem it still is.

Nevertheless it appears that colored mulches use recycled wood that looks too ugly unless it is colored/dyed.

As far as visual appearance that is individual taste. There seem to be some strong reactions to it, but I personally, think it can look nice.

My beef with conventional mulches only applies to the "public" areas, usually at the front of the property-- mostly flowers. The veggie beds in the back get newspapers or straw or coir or bark mulch-- whatever is cheap, handy and organic.

I don't like the look of woodchip mulch because it doesn't look like soil. I like the look of dark soil between the plants, at least until they grow to fill in the bare areas.

And I do need to put mulch down. Our summers are insufferably hot and humid, and plant roots need to be kept moist and cool.

So I thought that black-dyed woodchip mulch would look more like soil than plain woodchips.

Today, a friend of mine told me about a famous gardener who used wood chips with a thin layer of compost on top, to disguise it. I might try that.

I still wonder what kind of dye is used in the black mulch...

Sorry - can't help with the die question. However, if they sell a bagged product called "Composted soil conditioner" around you, you might want to try it out as mulch. Around here, most of the box stores sell partially composted pine bark chips under that name. It is dark and looks considerably more like soil than other mulches. You'll have to replace it yearly, but I would wager you would have the same problem with standard wood mulch covered in compost.