If I remember right, then converting the image to a PNG file will allow for true color.
The good looking screenshot above was done in GZDooM 2.1.0. In version 1.82, which I normally use, and in the latest 1.X version 1.9.0 that was just released, there is a bug. I call it the "GZDooM Grey Voxel Bug" and it affects a number of the voxel objects I have made.The good news is the voxels look fine in version 2.1.0
Theoretically. Some PNGs also use palettes though, so you have to be careful.
@Boingo: Just wondering, why are you concerned about supporting old versions of gzdoom? Even if you're going for Zandronum support I'd recommend just leaving it as it is. Zand will catch up and fix this coloration problem eventually.