I don't know how they actualy sterilise them but it would be extremely impractical to remove their ability to breed through genetic engineering. Genetic engineering is not as easy as people generaly seem to think. These danios were not created for people's pleasure, they were manufactured for 'practical' use originaly - and then they noticed a little gap in the market and figured they could take advantage of it. Anyway, without fish they can breed, they can't supply the fish without having to consistently geneticaly modify danio eggs - and that's just insane as their costs would out-weigh their revenue. I have, however, heard the fish available at most LFSs are, indeed sterile. It is in the company's best interest to make sure they remain so or else they will no longer be able to monopolise their production and they'll cease to make profits. Anyway, these are not hybrids and they're not dyed either. They are ordinary zebra danios - simply with a foreign gene added.
edit: It would be somewhat worrying to find some can breed. Hopefuly this is just a rumour as I would hope the company is money-obsessed enough to keep them all sterile.