Zoanthids will change color based on the tank conditions. Unless your conditions are literally exactly like those of your supplier the zoos will change color to some degree. The same is true for any coral. Unfortunately we don't have an understanding as to why all these changes occur. The best thing you can do is call your vendor and see if they'll tell you their system parameters (lighting, Ca, nitrates, etc) and try and match theirs. Even that may not work though.
I had a blue frag fall on the side of some liverock and they landed in an area i couldnt reach which was real real shaded, so i just left them there. Months later and they are the bluest I have ever seen them, and they are doing just fine.
I have some Caribbean blues, and they actually like lower light.
I have also had other blues that have faded when stressed, but colored back up when tank conditions improved, so it can be done. I think it just kinda depends on what is causing the fading.