Oh yes they do! I made a post a little while back about making spaghetti sauce with Sungolds, Cherokee Purples and standard red romas. The color difference was quite obvious, and so was the flavor! I haven't done any one variety sauces since (mostly just use a mix of acidic and sweet varieties), but maybe I should try again. I think a Green Zebra sauce would prove interesting.
Those are four excellent varieties to try this out, though you may want to peel the skins off the Sart Roloise, lest the purple tinge the yellow sauce. (Lots of recipes say to always blanch and peel tomatoes, but I rarely do, both out of laziness and cause I feel the skins are nutritious.)