The short answer is no. If the colour really gets to you you could after inserting comments draw a triangle over the comment arrow head and fill with your colour, and do this for all comments!! not the best way. There are different VBA code to do this but most authors pin a warning to the code so if you want to Google it and install then that's up to you. You could do it by changing system colour settings, try the link...
Its not exactly what you want.. may be you are searching in Excel option, and then.. a color chooser pallet and then select the color.. for Error Indicator
There you go manoj_th VBA code,......but I must say that when you look at some of the codes on the various forum sites Debraj Roys looks more up to the job (neater).