I'm not entirely sure, but I believe what you are observing is a subtlety of the interaction between Mathematica and your operating system. You use a color-chooser dialog (Format -> Font Color -> Palette), which definitely interacts with your OS. The reason for my assumption is, that on my OS I can pick not only colors in the Mathematica notebooks but from the entire screen.
When I use now this color to draw another rectangle, I get the following image
Clearly, this is not the same color.
I think the following happens: You use the magnifier to pick a color, but instead of picking the CMYK color, you simply pick the RGB pixel value of the screen. Then you can display the corresponding CMYK values again, but somewhere in this conversion your original values are lost.
When you export the graphic directly to EPS, then the Mathematica Kernel takes care that the color values are kept.