Milk is white, and many cow's-milk cheeses are yellowish.
After a cow chews the cud, beta-carotene dissolves into the animal’s fat stores and ends up in fat globules in its milk. However, protein clusters and the membranes that surround fat globules in milk conceal the pigment’s color, reflecting light in a way that makes milk appear white and opaque. But during the cheesemaking process, the pigment is released: After bacterial culture and rennet have been added to milk and the coagulated mixture is cooked, the fat membranes dissolve and the protein clusters loosen so they can’t reflect light anymore. The beta carotene is made visible, and it also becomes more concentrated, since the the lean liquid component of the milk, called whey, is drained off. It follows that the fattiest cheeses, and those from cows grazed on open pasture, tend to have the deepest natural color.

More acidic cheeses, like cottage cheese and feta, retain their dense protein structures and so continue to appear white.
Orange cheese has other artificial colors in it, which might be an attempt to pass it off as something better, or to maintain product consistency.
Today, many supermarket cheddars are still colored to satisfy consumer’s expectations of what cheese should look like. (Research has shown that color preferences influence how people shop for cheddar.) But inconsistent cheese color isn’t much of a problem anymore, since large-scale confinement farms have come to dominate dairy production over the last 30 years. Cows kept in confinement and fed a carefully formulated mix of grains, protein supplements, and dried grasses tend to turn out milk with virtually no irregularities. Milk from confined cows also contains considerably less beta carotene than milk from pastured cows—hence the need for dye.
Good aged Wisconsin cheddars are beige shading to white. But the Slate columnist asked an expert at the University of Wisconsin's Center for Diary Research, your reference source for all things social.  Proofreaders must have gone to sleep again.

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