I think I found out why. Apparently what is labeled as red rice, is actually better known as Black rice. The pigment in black rice comes from Anthocyanin (think red cabbage). This is an indicator, so to test it, I boiled up some of the rice, and made some a little acidic and some a little basic. The color change is obvious.
So it turns out that anthocyanin is a glucoside which can be decomposed through fermentation. It would appear then, that brewing with black rice, or red cabbage (feel free to try) will not yield the desired results.
Interesting: Indican, which is a colorless glycoside, when fermented yields Indoxyl. When Indoxyl is oxidized, you get Indigo Blue. Fermentation colored the world! (just not my beer)