The previous answers aren't wrong, per se, but they are incomplete. The official .obj file format doesn't included color information in the .obj file (it would normally be in the .mtl file). HOWEVER a lot of software, including 3D Builder, DOES include vertex coloring information right in the .obj file AND many software programs look for and support this non-standard but widely-used practice. But the info is usually stored as decimal RGB values ranging between 0 and 1, whereas Microsoft 3D Builder uses integers between 0 and 255, which other programs don't recognize and therefore ignore. I ran into this myself, and wrote a short python utility to map the value ranges to between 0 and 1. You can read more here: https://www.mcgurrin.info/robots/8123/ and can download the program from here: https://gist.github.com/ViennaMike/aa045d0ac17505b8229b5346bcfa80c5
I know that 3D Builder has been discontinued, but it can still be found and some folks (including myself) are still using it.