It changes colour for me as well which is really annoying, but if you play in first person it doesn't really matter.
No, but I only want to wear them to see them on me. Because they're awesome. And I went to all that trouble to get them, and

Ulfric's outfit is essentially a palette-swap of the style of clothing Idgrod Ravencrone, Korir, and Bryling wear. The particular black-and-gray mailed appearance only appears on men, perhaps because at one point Ulfric's clothes were not playable and therefore would not have been able to be equipped by a female player.
Not necessarily a "bug," but let's look at it this way: ladies have masks on their Shrouded Cowls, and men can wear Ulfric's outfit.
Not a fair trade IMO. The DB stuff is not that unique, or at least I assume it's not from what I remember. I wore what they gave me occasionally but there was other similar or identical gear just laying around or being worn by the other assassins. And it all seems to have a fairly standard style and color scheme across genders. If you're a guy and put on the "uniform" it's not like you get some pastel pink nightmare of an outfit that looks nothing like what you expected.
Ulfric's clothes really are unique, I've never seen another character that wears that ensemble in those colors and I loved it from the moment I first laid eyes on it. AND NOW I CAN'T HAVE IT. Boo. When I put on Tullius' armor as my other PC, it just looked like Tullius' armor reshaped to fit a female body. Same needs to be done with Ulfric's stuff, I mean they are the final bosses at the end of one or the other version of that storyline, they are unique NPCs and their gear should reflect that IMO.