yellow labs are pretty much sexually monomorphic -if thats the word so you can't distinguish a male and female without venting them I doubt you or the store has just to pont that out
The main thing I can think of to get the "male" more comfortable would be reevaluate your decor these fish will enjoy lot's of hideing places, not really that they will hide all the time form you but the need their caves, best of rocks or pots. Plants don't count as hideing places with these guys
Also with the coloration, it is possible it will color up and not. For two main reasons if the fish has bad genes it might not, which is likely due to the excesive inbreeding of the species, and if it is larger or from a different tank, it is likely to be unrelated to your others and just not as strongly colored from heritage. But you also mentioned it is skittish which is a factor too. The dominant fish in the tank will be the most colorful but with labs possibly not noticeably, but the fish will show is's best colors when dominant and happy in the tank. Older fish will also have better colors and fish fed with better foods(containing krill and spirulina).
What tank size and are these the only ocupants, are there agresion problems yet? circleing, chaseing, kissing?