GPU Particles will only use the first point of an Initial color module with Distribution set to Constant Curve.
Found in 4.20 CL# 4369336, 4.21 CL# 4753647, 4.222 CL# 4768593
The particle will stay one color but will not fade between the two set points.
The color of the particle will fade from one color to another just like the CPU particle
There's no existing public thread on this issue, so head over toAnswerHub just mention UE-69020 in the post.