I use OSX El Capitan Version 10.11.14, and I experienced the same problem with my Flash CS5.5.
I found that you can get around this problem if you are working with your own graphics. Keep double clicking on the movie clip/graphic/object/group with the colour that you want to copy, until you find the source Shape that contains that colour.
On the Properties window, you should see the Fill and Stroke of that Shape. The Fill property of the shape should be the colour you want to copy. If you save your file (Ctrl-S), you should notice that the Foreground Colour in the Toolbox changes into the Fill colour of the selected shape.
Hope this works for you!
I, too, am having the same exact issue as described with Flash Pro CS4. As many users have stated, this occurred immediately after updating to El Capitan (and also updating Java, although I don't know if that was related or not), so I have to assume this is a bug, but I'm not sure where to look for a solution at this point. Yes, there may be "work arounds" for this issue, but it is EXTREMELY annoying, especially when CS4 is quirky enough as it is! I have to imagine that this issue has been around for about a year now which is very discouraging... Does anyone have a solution yet that doesn't involve uninstalling El Capitan or upgrading to Animate CC?