You will need to have the layer four times in the map:

On the first layer, the label is set to be yellow

On the second layer, the label is set to be blue, and the label expression would be:

 Left$(Cat_Priority, Int(Cat_Priority = "BLUE") * Len(Cat_Priority))

On the third layer, the label is set to be red, and the label expression would be:

 Left$(Cat_Priority, Int(Cat_Priority = "RED") * Len(Cat_Priority))

On the fourth layer, the label is set to be yellow, and the label expression would be:

 Left$(Cat_Priority, Int(Cat_Priority = "YELLOW") * Len(Cat_Priority))

As you will have to separate labels for the layers, I would recommend that you position them differently. Place the first right and above the insert point. Place the others right and centered (or maybe below) the insert point.