What does it mean when a card says:

Zoltan's Anecdotes (Red Investigation card)

Receive 1 (Lead token) and 1 Red (lead token)

The first lead does not have a color indicated? I looked all through the rules and didn't find any clarification on it. I assumed that meant any color but was not sure...

Yup, it's one lead of your choice. It's in the Ref Guide, pag 5, under Leads, third bullet point:

If an effect instructs the hero to spend (or receive) leads without specifying a color, the hero may spend (or receive) any color lead.