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1) Yes in the (Jupyter) notebook (Mathjax happens to understand \color...) . No in command-line (or emacs), unless you add the relevant \usepackage{xcolor} or analogous to the relevant latex preamble (see the docs).

2) Not as far as know. This is much better achieved in a SageTeX (or org-mode + sage-shell-mode in emacs) document (with the right modules in the preamble). Again, see the SageTeX documentation and example.

3) This might be doable by writing Sage code to spit out HTML results. ISTR that Sage has some relevant functions for that, but never used it. See the docs, again. An alternative is org-mode with HTML output.

4) is highly dependent of your output mode. There might be some Methjax happenstance, I dunno. See the relevant docs.

sage: r('library("fortunes")')
[1] "fortunes"  "tools"     "stats"     "graphics"  "grDevices" "utils"    
[7] "datasets"  "methods"   "base"
sage: r('fortune("RTFM")')

This is all documented in TFM. Those who WTFM don't want to have to WTFM again
on the mailing list. RTFM.
   -- Barry Rowlingson
      R-help (October 2003)