why does sudan III only color lipids / fats?

If you check out the Wikipedia page for Sudan III, you can see its chemical structure. It has lots of rings, which are hydrophobic (the avoid water). The fatty acid tails of lipids are also hydrophobic. This excludes water from the insides of cell membranes and lipid droplets, making them the only environment inside the cell where Sudan III can accumulate. In other words, just like hydrophilic molecules will dissolve in water, hydrophobic molecules will dissolve in other hydrophobic materials - in this case, lipids and fats.

Sudan Iii