Definitely check your gain settings as mentioned. Unless there is something about the camera that I am missing, your chosen stop shouldn't have any effect on colors. That's assuming that you are lighting to your stop of choice.
Are you purposely going "wide open" and adding ND in an attempt to control your DoF? I ask because I can't think of any other reason to use this approach. Generally you would want to use ND if you were outdoors and the lighting dictated a very small stop and you wanted to open up more to hit the sweet spot on the lens.
The "best" way to "fix" exposure is to set it up properly - all settings to manual, WB to your chosen color temp (usually the same as your light source), choose the stop you want to use and light to that stop as closely as possible. If you find you need ND to get yourself there, then use it. If you are indoors and finding you need ND from all controllable sources, walk the light sources back away from the subject (inverse square law comes into play here, you don't have to move a light very far to cut it's effect on a given subject by a stop or so.)
Given proper WB and adequate lighting for the scene you shouldn't notice a color shift unless you dramatically reduce the light (by any means) which will desaturate things (as mentioned) and have some other effects (well lit dark objects appearing brighter than poorly lit bright objects, for example).
