When using the Drill Down Choropleth visual with a Legend, you can set Data Colors in the normal manner. However (unlike most visuals) these dont "stick" - every time the visual is filtered it re-assigns colors from the default palette.
You can repro this behaviour using the sample PBIX file provided with the visual. From the page: Choropleth with Legend, go to the Visual Level Filters and filter the Party field, e.g. select B and D. You can also try using the Format / Data Colors property to set a specific color, then change the filter and watch it reset to the default palette.
For my scenario, each value in the Legend field should show in a specific colour, regardless of filtering. This is achieveable with other visuals e.g. TreeMap. Please fix this aspect of an otherwise outstanding Custom Visual.