Hi Vlad,
actually, the idea of a color corresponding to a specific "level" in an initiatory progress seems to me to have its roots in Magickal techniques for working the Tree of Life in the Qabalah. I recommend this site for more details:
http://www.digital-brilliance.com/kab/(Note: Christian mystics spell this word cabala; Jewish scholars prefer kaballah; and Pagans and Witches like myself prefer Qabalah or Qabala. I don't know how people who normally can't agree about anything managed to agree to keep these spellings separate. I suppose it has to do with the source materials used by people in the various traditions.)
The use of Color in mystical and magickal symbolism has a far ranging application. When Poe was writing, French mystic Eliphas Levi was publishing books that recorded his experiments with the occult, which were to have a far-reaching impact upon what eventually became the modern Occult movement. In fact, I believe it was Levi who came up with the idea of using the word "occult" the way we use it today.
It sounds to me as if you need to get your Masque of the Red Death DVD exchanged. As for Giuliana's dream, the motif of ritual death and rebirth is central in virtually ALL initiatory traditions. A persistent bit of lore states that full initiation into the ancient Egyptian priesthood involved lying for 3 days and 3 nights in a sarcophagus. There's a much more elaborate version of this in which the initiate survives several near-encounters with a spectacular painful and messy death during his ordeal
Best, Steve