If hair dye was actually used on them after they were born, then they do need immediate vet attention, but likely it was done while they were still int he egg and should not have any adverse affects on them now if they're showing no issues, and if you take as good of care of them as it sounds like you will.
You can't really do much, dye stays. I'm speaking from inexperience here but I'm guessing that dye stays in feathers much like human hair. If it's a temporary hair dye, then it may wash out soon as few brightly coloured hair dyes are permanent, but apart from that you'll just have to wait for the chicks to shed those feathers which in all reality shouldn't take too long.
I bought these poor chickens this way, a Mexican in a garage looking barn was selling baby Chicks and I have a rooster that I ADORE and I figured I would buy a few babies. I bought 5 and all of this guys chicks were colorful (green, red, pink, orange, etc.) anyways, how do I get this dye off? it isn't cute to me, it looks like a baby was tortured with hair dye to please children on Easter.. should I just let feathers grow in? when they get wet hopping in their water despenser the dye does NOT come off. I have had them for about 9days. Help?