I'm not sure, but in all those panels of Wolverine's adamantium claws clanging harmlessly off Cap's shield that Marvel's so fond of, you never see it get scratched, so the color must be bonded to the metal somehow. And the blank shield he had when he was sulking being "the Captain" was a newly-made one he got from Tony -- if the colors on his "real" shield were regular paint, they'd presumably be removable and he could have just gotten his regular shield stripped down to bare metal.