It looks like the addColorboxLinkClass filter (line #45 of jquery-colorbox-backend.php) is overwriting (not adding itself to) existing Styles in the TinyMCE dropdown.
Other plugins (like TinyMCE Advanced) happily add their own styles to those in the editor-style.css file (enqueued in functions.php) but Colorbox seems to overwrite them with the color-link class.
Could this be fixed? Right now I am just commenting out line #45.
Thanks - great plugin though!