Some parts are in fact offered in CVO colors, for instance if you're looking for a Tour-Pak for a SESG or SERG you can find them listed in the Color Shop section of the catalog for your specific model. Some parts, however, haven't made it to the catalog. I remembered looking for a painted inner fairing for someone early this year and was unable to come up with the color he needed. Fortunately, with something like an inner fairing that is a single solid color with no graphics, it's pretty easy to get those painted locally. A lot of painters can very closely match a single color even without the official color codes from H-D.
As for the idea of having to turn in old parts for the dealer to order replacements, that only applies to warranty replacements. We recently had this discussion on another thread. If you have a damaged fender for instance, all you have to prove is that you own the specific bike for which you are ordering the part (VIN). They can't force you to give them the old part if it's an insurance repair or just you replacing the damaged part on your own. Some dealers may try that BS on you, but most will not. If you need to order a legitimate replacement part due to damage or theft and some dealer tries to jerk you around, find another dealer.
Jerry