It looks like it is part of the Player Resource, so setting it on the client most likely wouldn't work.
From the compcolour plugin:
Code:
...
int offset = FindSendPropInfo("CCSPlayerResource", "m_iCompTeammateColor");
...
SetEntDataArray(entity, offset, player_colours, MAXPLAYERS + 1, _, true);
The other reason it might be giving a property not found is because it might be a Prop_Data. Although modifying properties that are managed by the player resource entity usually either has no actual effect, or is reset on next frame.