No don't cut them off. In the UK the dead heads should be left on right through the winter to offer some protection against frosts. They do fade with age - is that all it is? Plus as mentioned the colour is very dictated by the soil acidity. A blue one bought for example may well turn to pink once planted in the garden.
You can buy acid & alkaline chemicals to add to the soil to change to blue or pink. I'm unsure what you do if it has no colour at all. Not a white variety is it ?