It’s no problem to do so, so long as you use the correct load resistor for the different LEDs.
Step 8 of the assembly guide mentions this possibility: “Advanced tip: If you are using multiple LED colors on a single Octolively module, make sure that the resistor by each LED is the correct type: 220 ohm for red/orange/yellow/yellow-green, 82 ohm for blue/green/white.”
There will be intensity differences due to the relative brightness of the different LED colors. It is possible (but not particularly trivial) to correct that in firmware. (Some LEDs are just brighter than others.) Another thing that you can play with is the load resistor value for each LED, so long as you *increase* rather than decrease the values.