−X: Exile each permanent with converted mana cost X or less that's one or more colors.
Yes, they can have a color, and Ormendahl would be exiled.
Do you see the little black dot to the left of "Legendary Creature"?
That dot is called a color indicator, and means that the card is black. The CMC of the back of a double-faced card is the same as the front, which, in this case, is 0.
Here's another example of a black color indicator.