Can I export to 3D model with colored texture shown on PCB?

You should check out @maui’s Kicad StepUp Workbench for Freecad if you haven’t already. Generally, the copper, silkscreen, etc. are not exported to the STEP because the PCB assembly will end up having more detail than the whole rest of a subsequent mechanical assembly and really slow down the MCAD tool. However, there is an old thread on importing the full PCB into Freecad:

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