Dorico doesn’t provide a means to save more than one custom set of colours, but in fact you can create your own if you’re willing to do a bit of hand-hacking. Create a text file called gradients.xml in your user application data folder:
Windows: %APPDATA%\Steinberg\Dorico 3.5
macOS: /Users/your-username/Library/Application Support/Steinberg/Dorico 3.5
The file needs to have contents like this:
<?xml version="1.0" encoding="utf-8"?>
You can add new entries in this list, making up your own names and IDs. You can create up to four stops, which should have values between 0 and 1. If you have two stops, I suggest stop increments of 0 and 1; if you have three, I suggest stop increments of 0, 0.5 and 1; if you have four stops, I suggest stop increments of 0, 0.3, 0.6 and 1.