That might be the OS's fault- On the Mac, the "More Colors..." button pops an OS-supplied colour picker, that lets you switch between HSL/ RGB/ Websafe/ CMYK/ Colourwheel/ spectrum/ image/ crayons/ optional plugins.......
It should be pointed out that the RGB option is there, but it's in decimal, not hex. Personally, I don't select specific custom colors that often, so I can't say I feel the need, and with Tom's comment, it seems like this is an OS specific dialog, so it may not even be possible without writing a custom dialog.
Yes! I'm creating an entire palette of custom controls right now, and converting between the hex used in the design spec and decimal is a massive pain in the butt.
