It is a ethnic group here. Colored might not mean anything there or sound strange but here its the same as your natives. If colored is a racist word then Indian is a racist word as well.
The BC what does it say to say what is his ethnicity (ethnic affiliation)
Is this ridiculous cross-purposes argument still going on?
Whether words are offensive or not depends on history, context and usage. There's no point laboriously analysing their meaning in isolation from those things.
"coloured" (as it is spelt here) is considered offensive in the US and UK. Because of how it started being used and because of the way it has historically been used.
I do sometimes meet people here who use it, usually its because they come from some 30-years-behind-the-rest-of-us rural, provincial part of the UK. It makes me cringe but I suspect most of them don't mean anything by it. But if they carry on using it after being politely corrected they are being deliberately offensive (and if they use it around black or asian people they risk getting into difficulties).
However, I know that South Africa under apartheid made 'coloured' a specific racial catagory. distinct from 'black' and 'white'. So it has a totally different meaning and history there. Whether its offfensive in a SA context today I have no idea, but even if it is I bet it isn't the same kind of offensive that it represents over here. I'd probably just take the poster's word for it that it isn't and leave it at that.