You can only change the color for the entire Caption but not a part of it.
The below code can help alter the caption for the TextField1.
xfa.resolveNode("TextField1.caption.value.#text").value = "This is Test Caption";
TextField1.caption.font.size = "20pt";
TextField1.caption.font.fill.color.value = "150,125,120";
Alternative Approach:
If you want only to have a part of the caption to be "Red", you can use the Text Object (Not Text Field) to hold the value and remove the Caption form the TextField.
If your captions are static means if you know the text for the caption at the design time itself, place multiple Text Objects on your form for the caption.
One with default Black and then one for Red etc..
If you place them next to each other it look like a single caption to the user.
But this gives control on which text Object text you can change to Red or Black color.
Thanks
Srini