First of all, you confirmed what you probably already knew: oil and water do not mix. The molecules of water do not like the molecules of oil. They'll truly mix with each other only under special circumstances. Even if you shake or stir the mixture like crazy, the oil breaks up into smaller blobs, but it just won't mix with the water. Also, the Color Fizzers only mix with water. They don’t color the oil at all. Blobs of color you see in the oil are just tiny water droplets.
When you pour the water into the container with the oil, the water sinks quickly to the bottom and the oil stays on top of the water. You see this when oil from a damaged ship spills into the ocean. The oil floats on top of the water. Oil floats on the surface because water is "heavier" than oil. Scientists say that the water is more dense than the oil so it stays below the oil.