Thanks. I'd been having this problem in Mojave on an iMac. When I switched to a Macbook Pro with Catalina and new version of Mail I hoped this problem would go away. But no. So I sent "feedback" to Apple, for what that's worth.
I just tried to duplicate that on my Mini running Mojave, but I can't.
I set most of my email flags to red so I thought I hadn't seen that problem because of it.
But I just set a green flag on an existing inbox email (there was no flag set for that one), then checked for new messages - there were two that were downloaded.
The green flag stayed green - didn't change to red as for the OP.
Is there anything else that might trigger this other or in addition of downloading new messages?
Right now it looks like a unique issue.
If you follow some of the discussions in the link sent by pm-r above you'll see that it's a very common, though obviously not universal, issue. Sometimes it seems the flags change back due to other actions, but I haven't taken the time to track down every single one. Thanks for checking this out and I'm glad that you don't have this problem.
I wonder if the if the Mail message Flags/Colors are associated with those used for the Finder, and I wonder if they could possibly be changed/modified or if they've got mucked-up somehow and need to be reset???
I don't really see how this problem can have anything to do with the email provider or the System Management Controller.
Resetting the SMC restores the default settings related to low-level functions that you generally can't modify in System Preferences. The SMC controls the power button response, computer fans, battery management, sleep settings, thermal management, lighting settings and video source selection.