I finally got around to coding that colorpicker script for GrafX2 under Linux, based on 'grabc' program. (If you're using MacOSX, there is
already one). FYI: GrafX2's interface has to work on a lot of platforms, so they have minimal access to platform-specific stuff (eg. being able to look at the contents of other windows); the built in colorpicker is only effective inside GrafX2.
I made both cycling (moves to next color index after picking) and non-cycling versions. Usually use 'cycling', because I mainly want to pick
ramps rather than single colors. I use this for example to pick colors from
GPick's "blend colors' panel:

Both versions of the script are available
here.
Note: you'll need to have the grabc package installed first.