I've not done it myself, but I wonder if you could do it if you created a Rule.
Choose Mail > Preferences, then click Rules. Add Rule > type a name Indicate the conditions that need to be true Click OK
Try setting it up so it's Any Recipient is you, and then Mark as flagged and pick your flag colour.
I think you could even use this to mark all emails from a particular person with a green flag, and others with a blue flag, for example.