When I capture a frame from the Video Preview window the colors of that jpeg don't match the colors of the actual clip. Is this normal?

This is not normal.
I've done this numerous times and used the snapshot to extend a frame's length and it was a perfect match.
Are you setting the Preview window to Best/Full before taking the snapshot?
Is it possible that you have an FX that you forgot about on the master output?

Mike is right, of course. His suggestion to make sure your preview is set to best/full before is only suggestion I would have as well.