They're non-transitive dice. The probability is that the red die will beat the blue die, which will beat the olive die, which will beat the yellow die, which will beat the magenta die, which in turn will beat the red die.
Also, the red beats the yellow beats the blue beats the magenta beats the olive beats the red.
The names are odd because the first chain works for word length and the second chain works for alphabetical order (if you start at blue).
The box says it's "a game you can play with a friend", but I don't think the friend would be quite so friendly after they realised they were being pranked. Still, it's an interesting set.
One thing, does irritate me, though: why is it that a company that makes and sells dice as a business employs no-one who knows the singular is "die"?