Hello M.,
For that, on a possible solution, you can use style, as:
@startuml
<style>
stateDiagram {
arrow {
FontSize 13
LineColor Blue
FontColor Blue
}
}
</style>
state A
state B
state C
A -> B : Link\nfrom A to B
<style>
stateDiagram {
arrow {
FontSize 13
LineColor Red
FontColor Red
}
}
</style>
A -> B : Another Link\nfrom A to B
B -> C : a red link
@enduml

Regards,