If the LEDs are emitting particular light frequency, why then they are colored?

They started with the colored caps before they learned how to control the light frequency being emitted from each diode. It is cheaper to just produce the diode and color cap them.

Because they are monochrome (single color).  Mono = one.  True monochromatic light is that color we see for the one frequency f = E/h of that light.  Higher frequency looks bluer, lower frequency looks redder.

Bottom line, they are one colored (monochromatic) because that ONE frequency (MONOchrome) of photons they emit looks that color to the average human.

I just reread you question.  Did you mean to ask, why are some LEDs artificially colored with colored glass...like for Christmas Tree light bulbs?  In that case, it's because the deep reds, blues, greens, and such cannot be reached economically by designing and manufacturing diodes to the requisite specifications for those colors.  So they just cover up the natural emissions with colored glass; it's cheaper and effective.