Hi Gateway City Girl,
Based on my test, by default when we sort items by color categories, the priorities are in
numerical and then alphabetical order. In order to sort color by your customized order, you can try renaming the categories as follows:
1-Red
2-Yellow
3-Green
After that, in the List View, go to View Settings > Column, add Categories and All Day Event columns:

Then we can right click on the column name, choose Group by Box to sort items by Color then All Day Event(Yes or No):

Hope this can be helpful. Feel free to let me know if you would like further explanation on this.
Regards,
Yuki Sun
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