Red dye #3 has been linked to thyroid tumors, chromosomal damage, and hyperactivity. Red dye #40 has been linked to lymphatic tumors and hyperactivity. Blue dye #1 has been known to cause chromosomal damage, while blue dye #2 has been linked to brain tumors. Green dye #3 can cause bladder tumors. Yellow dye #5 has been known to cause thyroid and lymphatic tumors, allergic reactions, and hyperactivity, and yellow dye #6 has caused kidney tumors, chromosomal damage, and allergic reactions.
It is highly recommended to use natural dyes in your bird's food (and yours as well).