<<Disclaimer:  Verify this information before applying it to your situation.>>

>We would appreciate it if anyone could clarify whether annatto color is a
>problem associate with gluten or casein. ...  We find that annaotto
>color is an ingredient in higher quality cottage cheese.

Excepts from Ener-G Food's "Detailed Ingredients Listing":

Annatto Color
  Because ethyl alcohol and/or caramel color can be present in annatto
  color and is not declared, people with Celiac-Sprue should consider
  avoiding this ingredient.

Caramel Color
  The problem with caramel color is it may or may not contain gluten
  depending on how it is manufactured.  In the U.S.A. caramel color must
  conform with the FDA standard of identity from 21CFR CH.1.  This statute
  says- The color additive caramel is the dark-brown liquid or solid material
  resulting from the carefully controlled heat treatment of the following food-
  grade carbohydrates:
        Dextrose (corn sugar)
        Invert sugar
        Lactose (milk sugar)
        Malt syrup (usually from barley malt)
        Molasses (from cane)
        Starch Hydrolysates and fractions thereof (can include wheat)
        Sucrose (cane or beet)
  (Also acids, alkalis and salts are listed which may be employed to assist
  caramelization)