In all fairness, most people don't know that the statues and marble monuments used to be colorfully painted.

Yeah. I totally agree.

There has to come some show set in Rome from that period that just shows it colorful and detailed.

I'm saying a show because there is no way a movie can have the time to develop this kind of stuff as it will go for the mainstream appeall (exactly as this web comic shows)

And because it will go for the mainstream appeal, there is no way it will have an R ratting to show some of the less politically correct stuff from ancient Rome. A show has a better shot at that (think of Game of Thrones levels of content).