Having a go at a serious answer:
A pigment that is stable at forge welding temperatures will be incorporated as a whole grain. If it's big enough to be visible it will cause a flaw in the steel, if small and well distributed enough not to cause a flaw it won't be visible. I wouldn't want to use that steel for a cutting edge.
A lot of pigments are not stable at forge welding temperate; best case something like lamp black (carbon) will dissolve into the steel messing up your steel chemistry
Worst case is something like Prussian blue that will thermally decompose into gasses inside a canister, which is not good.
If you are going to try this do a lot of research on the individual pigments, consider what the reactions between them are going to be, and do some tests heating them in an anoxic environment.
Also check the specific composition of the pigment; zinc oxide, titanium oxide, and lead oxide have all been used for white paint