colors usually comes from chemicals of what animals eat (if you change alimentation of some species, they change the colors. some anelids have”feathers” who are white at the bigning (one kind of alimentation) and orange on the second part (another kind of alimentation)
or genetic factor.
so, even if evolution don’t selected colors, there is colors (who can be useless).
Underwater, there is always some light. even deeper than -300m, shrimps are super red : it is an evolution selection, because shrimps have the colors who is not where they leave. so, they become invisible, exept if you have a red light. so, some fish can really make red light (as a car at night) to find shrimps.
anyway, there is enought light where people dive, and it is sometimes very usefull : fish really know it’s a bad idea to eat a nudibranch, who is full of colors.
It can be a sexual attraction (usually on fish, like Thalasoma pavo), a repelent(like nudibranch), something to atract another specie as a prey or a helper.
but, as I said, sometimes it’s just useless. some fish are becoming red when they have to swim a lot, and so it help to know is there is strong current
It is very complex, and colors definitivly have a very important role, as odors, sounds, and more humans can’t feel !