When you open the DWG, ArchiCAD creates a Pen Set based on the colors stored within the DWG file. This results in a Pen Set different from the default ArchiCAD Pen Set you normally see in Project files.
When you copy-paste elements from one file to another, Pens are referenced by index number which refer to different Pens in the two files, thus the change in color.
Instead of copy-pasting, try to place the DWG file into your ArchiCAD file as a Drawing.
When you do that the Drawing will store the DWG's own Pen Set independently of what Pen Set the Project File uses.
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