Currently Slicer does not support loading of color DICOM images. It would probably not too hard to add, but since color images are almost always screen captures that are not suitable for further analysis or processing, there hasn’t been enough motivation to dedicate time for that.
This DICOM image is a screen capture, too (8-bit, with some unknown color table, burnt-in annotations, etc.), so not usable for much. Instead of such derived image, the original data should be exported to DICOM, if possible. As a workaround, you can use ITK’s image reader by circumventing the DICOM module (just drag-and-dropping a single file to the Slicer application window).