Scriabin was very taken with that whole Symbolist doctrine (involving synaesthesia) of correspondences between the senses. See Rimbaud’s poem on the different "color" of each of the vowels of the alphabet.
This was in Hill Auditorium, Ann Arbor, years ago. There was definitely some correlation of the more obvious sort (darker sonorities, dark blue, brighter, yellow, louder, red, etc.), and it was interesting as a curiosity, but you ended up thinking about those possible correspondences rather than just immersing in the music.
P.S. D'Albert two piano concertos in the Hyperion 19C series last night. Pleasant, but not compelling...