Why? The Vatican is a sovereign nation IIRC, as well as the capitol for the Catholic faith (at least Roman Catholic). It's their rules while you're there, and you can either play by them and be nice or be a dick by trying to make a point.
Especially considering much of the Vatican proper is a holy sight (pretty much the whole thing), and many holy sites for Christians in Europe will not allow women to enter with uncovered chests/shoulders/heads.
The selective outrage when it comes to Muslims having dress code requirements for women while remaining silent on Christians/Catholics is just that - selective outrage.
I really want to know as well, it just seems like such an odd choice on their part and I'm completely unaware of any requirements regarding clothing colors in the Vatican.