I haven't used the lettering on this machine, but I see in the manual on page 31 are instructions for doing multi colored lettering. On your "Ready to Sew" screen will be a "color change" key to press. If you press that before sewing, the machine will automatically stop after each letter. Then you will have the opportunity to change the thread before stitching the next letter, or just start stitching again if you want the same color again.
Other than that, I believe you are correct that if you want to change colors, you get to watch the machine and stop it when you are ready for a color change.