First of all, NTSC Composite video is just that - VIDEO only! The Coleco machine must have separate output lines for audio. I never had one, so I don't know if audio is on a separate RCA output connector on the unit, or whether there are multiple signal lines form one cable. In either event, you will need to find the audio outputs and connect them to inputs on a sound system (or on the TV if it has external audio inputs).
With NTSC Composite video feeding into a PAL TV, I don't know whether you should be able to see color. Any chance the Coleco machine put the color signal out on a separate line, the way S-Video does now?