So, the key to this is this sentence in the Custom Editors with DataTemplates section of the documentation:
Be sure to bind your custom editor to the bound property item's Value property.It took me a while to decipher what that meant, but here is the added code that make the binding work with a ColorEditor in a DataTemplate:
<DataTemplate>
<xctk:PropertyGridEditorColorPicker DisplayColorAndName="False" SelectedColor="{Binding Value}"/>
</DataTemplate>