Hi !
Yes, you have to change the file syscol.scl with the color parameters you want.
A quick tip: if you still have the ProEngineer WF on your computer, just go to the System Color option, choose the gray or blue fading colors scheme, and save it as a syscol.scl file.
Then replace it on your CREO program folder.
Also, you may personaize it differently and follow the same steps.
Hope it helped you