Color Palette layers should be added anyway.
Here a script to automate it (if anyone will be looking for it in a future).
font = Glyphs.font
id = font.selectedFontMaster.id
for glyph in font.glyphs:
layer = glyph.layers[id]
if layer.components:
for component in layer.components:
source = component.component.layers[layer.associatedMasterId].parent
for sourceLayer in source.layers:
if sourceLayer.attributes['colorPalette'] or sourceLayer.attributes['colorPalette'] == 0:
newLayer = GSLayer()
newLayer.associatedMasterId = id
newLayer.attributes['colorPalette'] = sourceLayer.attributes['colorPalette']
colorComponent = GSComponent(source)
colorComponent.automaticAlignment = False
colorComponent.x = component.x
colorComponent.y = component.y
newLayer.components.append(colorComponent)
layer.parent.layers.append(newLayer)
newLayer.syncMetrics()