Reading through Bruce Fraser's 'Real Time Camera Raw with Adobe PS
CS', I was surprised to learn that RAW data from 'mosiac' sensors
are still essentially monochrome!
Am I right in assuming that X3F files are therefore the only RAW
files to have colour embedded?
Kinda

To a computer, there is no such thing as color, so an RGB
image is made up of three monochrome images. With a Bayer sensor,
you don't get a true monochrome image (like what we would think of
from B+W photography) directly from the sensor because each
pixelsite is filtered for a different color. Those filters work
pretty much the same as colored filters work in B+W photography.
With the Foveon, you get one blue filtered image, one green
filtered image and one red filtered image, just as though you had
taken three B+W photographs with different filters. If you look at
a picture of the sky from a Sigma's red channel, it'll be dark - in
the blue channel it'll be light. With a Bayer sensor, one dark
pixel will be next to a light pixel and the sky will look like a
checkerboard.
So yes, the RAW data from a Bayer sensor is essentially monochrome,
but essentially unusable as such, whereas the RAW data from a Sigma
is truly monochrome and very usable. It kicks a$$