The other day someone told me to try and feed carrots, or food mixed with carots/carotine (that you can get from a health food store), to increase coloration in blue, red, and yellow fish. Haven't yet tried it, but I intend to, but it makes sense and sounds interesting. I told another Cichlid-keeper I know about that and he told me he had been doing it for years with great success, really making bright colors. Worth a shot.
Do you blanche your veggies first? I always do, just a habit from keeping other tropical fish that have trouble eating it otherwise (probably not the case with Cichlids), do folks do that all the time with Cichlids or are they okay eating raw? I usually boil mine for a couple of minutes.
And of course, the biggest "veggie" in my Cichlids diet is algae, I keep good lighting on the tank, they love the stuff, always keep it mowed down real good.
I usually cut up a bunch of cucumber or whatever ahead of time and freeze it. Then just pull out a chunk and soak it tank water to thaw and put it in my veggie clip and let them go at it for like 5 hours. Pull out any uneaten stuff and thats bout it. For immediate use I pop it in the microwave for like 30 sec and it softens it up nicely.