CGplayer 2 supports colors, however is very slow, you can expect with 150% overclock 3 fps according to Mpoupe (without overclock maybe 2)
cgplayer 3 only supports Black and white, is more faster, i think you can expect 12fps. I recommend this version!
totoyo, thanks for the video and test
Not even with WINE?
1 linux user reported me in my old site, that did not work with wine, however you can test it with wine and say if it worked or not.
BTW: There is also a video player for fx9860 series
http://www.planet-casio.com/Fr/forums/topic11429-1-Cr%C3%A9ez-vos-vid%C3%A9os-pour-calculatrices.html (download links and complete guide dead, I have to do reupload)