p-ter points me to a new paper in Trends in Ecology, Pleiotropy in the melanocortin system, coloration and behavioural syndromes:
In vertebrates, melanin-based coloration is often associated with variation in physiological and behavioural traits. We propose that this association stems from pleiotropic effects of the genes regulating the synthesis of brown to black eumelanin. The most important regulators are the melanocortin 1 receptor and its ligands, the melanocortin agonists and the agouti-signalling protein antagonist. On the basis of the physiological and behavioural functions of the melanocortins, we predict five categories of traits correlated with melanin-based coloration. A review of the literature indeed reveals that, as predicted, darker wild vertebrates are more aggressive, sexually active and resistant to stress than lighter individuals. Pleiotropic effects of the melanocortins might thus account for the widespread covariance between melanin-based coloration and other phenotypic traits in vertebrates.
The fact that blondes have more fear and redheads feel more pain might make some more sense. Skin color seems to have gotten lighter over the past 5-20 thousand years across northern Eurasia by substitutions and changes in frequency on a few loci of large effect. Evolutionarily this predicts that pleiotropy will product side effect phenotypes before modifier genes can arise to mask the deleterious byproducts of said evolution.