Interesting article on using colour in documents : http://www.propylon.com/news/ctoarticles/040622_color.html
Why not documents, but a lot in SpreadSheets?
Maybe because spreadsheets are two dimensional? And two dimensional documents rely a lot more on spacial positioning and bounded regions. (Compare SpaceVsInformationFlows/WebVsPrint)
Do not ... unlike a certain company I know ... use colour for meaning in your Word documents, and then print them out in black-and-white.