Yep Old Guy, they have a variety called Cheddar, and several purple colored varieties. There are also several varieties that are green. I understand that all varieties of cauliflower can give several shades of their normal perfect color too depending on if you blanche them, and how you blanche them...duriung the flower head's growing period.
Broccoli and Cauliflower are really just wide ranged varieties of the same species, and breeders can and do easily cross them. The only trick is getting them to bloom at the same time, which experienced growers, not me, can do easily. Some of the color shades, like the green ones especially, are descended from such a cross.
I am sure that breeders working with Cauliflower have even more shades up their sleeves but are still working at getting them to head up right or be healthy, or larger, things like that.
Romanesco spiral flowered cauliflower in colors is likely just around the corner. Lacinato dinosaur kale leaved Cauliflowers will likely soon appear, and there will probably be available within 10 years, Cauliflower varieties that side sprout purple sprouting broccoli.
That "Cole" species brassica has a lot of diversity in it!
To add to that, brassica has "sister" species that expert plant breeders are sometimes able to cross with brassica, and a thing called "polyploid chromosome counts" happens.
That kind of wide cross does indeed happen naturally, and is most definitely NOT any kind of GMO work or the like. The who Brassicaceae family has a lot of species that are the result of polyploid wide crossing millions of years ago, and some much more recently. What happens, short version, is, say a turnip crosses with a pak choy. they have different numbers of chromosomes, but for some reason it worked one tiome. It worked because in the embryonic seed development during the first cell division, the 2 second cells merged their chromosomes so that the chromosome number doubles. That makes it possible for all the chromosomes to have a match during their next mitosis so that compared to the haploid state their are 4 times the number of divided chromosomes.
ok, that's not simple

That's why i can't do it...
But what happens a long time later is that the new species begins to revert to a new normal number of chromomes. Nobody knows why.
what it means for the future of plant breeding is one day there may well be a variety of chinese cabbage with a nice turnip for a root, a splendid large succulent kohlrabi with a rutabaga root, or multi headed cabbages, coming soon to a seed catalog near you. Not because of any gmo frankenplant work, but from normal processes of breeding...even though some of it is complicated.