While this may be true enough to destroy ones faith in the FDA, it's mostly false at least in the US. Here's the US FDA's official policy: http://www.fda.gov/ICECI/ComplianceManuals/CompliancePolicyG...

Summarizing, if dyed oranges are sold, there must be a label declaring this at the point of sale.

In practice, only early season Florida oranges are dyed. California has stricter rules, and does not allow it at all: http://littlelocavores.blogspot.com/2011/02/when-orange-isnt...