I haven't seen these in action to tell, but be prepared for the possibility that the plastic is white and the color is the paint, in which case you'd actually have to paint them rainbow to get the effect... Or you could try to do whatever happens to Watercolor Baby Seaponies to get them stuck, which is either extreme heat or plain old aging, the former being easier than the latter to bring about intentionally!
Thermal pigment capsules break down at a certain high temperature, which would certainly stop the color changing, but what color they'd be afterward may not be what you want, not to mention what may happen to the plastic itself. If you're brave enough, you could try it on your least desired pony from the set and, should things go awry, replace her with the single release with the tail painted.
If it is a layer of white, you could try sanding it or scrubbing it with a Magic Eraser to have more control over what layer is removed. It wouldn't be totally safe (and, in the latter case, would require the world's supply of elbow grease), but it would be something to consider if acetone worries you.
In the end... Do what you're comfortable with, and have a backup plan should it go wrong.