As mentioned, it's definitely the right workflow to color after VFX. If you do it the other way around, any minor tweaks to color will mess up your keying settings. Or you will end up having to color correct the previously colored image, which might lead to restrictions.
Fusion has within it the ability to apply luts to the viewer alone. This allows a more technically pure workflow where the actual images are untouched with regards to their color "spaces". Instead, the artist simply views their work through a lut so that they have a more convenient image to look at.
Of course if you really want to alter color first, the Fusion has a wide range of color tools built in it. They're not what you might call "colorist friendly" though
DC