A family of Microsoft word processing software products for creating web, email, and print documents.
Try modifying the styles TOC 1 - TOC 9 in your Word document to have the color you want. That may carry over.
(I can't promise because I know nothing about converting for Kindle.)
The blue color acts a bit differently in a TOC because people did not want the printed document to be showing blue associated with hyperlinks so both blue and underlining are often removed.
If blue does not work, consider trying green or red or orange instead.