I have this on my to-do list as well. The red in the default block page style seems to quite literally make users see red... and throw up their hands and get angry at whomever deployed the web gateways. Getting some of them to read a sentence or two seems a struggle, and I seriously think the color makes it worse.
If you find the answer, please post. A calming blue might be offense to McAfee's branding folks, but would help keep users a bit calmer when they stumble upon policy blocks. :-)
A bunch of stylesheet.css 's can be found in /opt with the pattern
/opt/mwg/storage/default/[date time stamp]/error_templates/default/stylesheet.css
and I think the way it works is that
/opt/mwg/storage/active_configuration points to which date/time stamp directory represents the active config.
Before I'd get to eager to bark up that path though, I'd probably want to ask support if any manual edits to the stylesheet.css will survive the next policy update, or if there's a more supported way to get at these bits.