You can apply one color or other fill to each of them. If you draw a smiley face you either make it blue, or red, or with a rose fill, or whatever. (Let's leave out for now the issue of line color.)
But let's say you want to make each point of the sun a different color, or the eyes in the smiley face a dfiferent color. You can't. Well, not by default.
Once you're done formatting it, you should probably re-group. Select all the components, right-click, and choose Group.
The easiest way to select a bunch of small items is to "draw" around them with the arrow tool, the normal default selection tool. In this illustration, all the items for the split-apart octagon would be selected, but nothing from the smiley or star because you have to go ALL the way around an object to select it.