Due to the way lemming sprites are tied to themes - and where recoloring is involved, need to be tied to themes as the themes specify how to recolor them - this would be a lot of work to implement.
We still only have four actual spritesets. The rest are all just recolors. Some of these are specifically tied to certain styles (making this a non-issue for those ones), while some recent ones have simply been made in an explosion of "let's do everything we can do, and keep thinking of new ideas, without any serious plan for how they'll be used" - and I'm not particularly inclined to worry about this case, because most of these will likely disappear into oblivion if not added to the styles downloads, or become rarely-if-ever-used clutter in the downloads if they do get added. If a pattern of serious usage emerges (from that topic or otherwise), it might be time to reconsider this.
If any reconsideration does happen, it'll be on the basis of "you still select a theme for the level, and you can optionally select a second theme which overrides the lemming sprites and colors from the first theme". I'll have to figure out exactly how I'll get it to load lemming colors from one and all other colors from another, but at worst that can be done with a hardcoded list of which colors aren't just lemming colors.