Zebra danios have been being used in developmental biology/genetics research since the 1970s so they are a very common and well established model organism in research labs. There are three main reasons why they were the first fish to have a fluorescent transgene inserted into them: 1) we have a lot of knowledge about their genetics, which makes it easy to insert transgenes; 2) they're really easy to house and breed; 3) the insertion of fluorescent transgene is actually legitimately useful for biological research so the project can get funded. Their appearance in the pet trade was just a secondary consequence.
The multi-colored versions are by making fish with 2 different fluorescent transgenes (one red, one green) and developing stable lines from fish expressing different ratios of the two proteins.
This is easier to do with zebrafish because of their easy and fast reproductive cycles, but it's probably only a matter of time before someone does it with other fish (assuming they think they'll be able to make enough money selling them to justify the development costs).