Full circle
We do, actually!. Recent research proved there are melanosomes in some fossils/imprints, which were previously thought to be bacteria. This gives us a fairly good idea of the colouring of certain species. Check out this sinosauropteryx:
I highly recommend reading the book Dinosaurs: New Visions of a Lost World. It’s fun to read, has amazing illustrations and was written by one of the people who discovered this.
Wait
Is that fur?
Composition? I tried googling it. Found an article which says that while hair is made of keratin, feathers are also made of keratin, but the keratin is different.
¯\_(ツ)_¯
Maybe someone who knows what they are talking about will chime in. I am not that person.