Re: 'is it possible to filter or separate colour pigments dissolved in oil'

Separations in hydrophobic media (oil-loving) media are certainly possible. 
Various column chromatography materials are designed for this purpose and 
solvents of different hydrophobicity can be used to resolve these 
materials. This should also concentrate the color, particularly if it is a 
media that binds the oleoresin and it all can be released at once.