Colt didn't make those pens, it only marketed them. IIRC, they were actually made by Lake Erie Chemical Co. (which was owned at one time by S&W). They are NOT illegal or an AOW under Federal law (they may be illegal under some state or local laws) because they do not fire a conventional cartridge. The gas is contained in the "cartridge" that screws into the front of the gun. A regular bulleted cartridge cannot be fired without re-manufacturing the pen.
The two red cartridges are flares, which could be used for signalling in distress.
P.S. Any attempt to re-manufacture that gun to fire a cartridge, legality aside, would lead to disaster, since the gadget would not stand up to the pressure of a live round, and they have no breech block, so the blowback would wreck the gun and seriously injure the user.
Jim