Annatto is a natural dye which is collected from the pulp of the seeds of the achiote tree. The color is orange-red. It is used sometimes in cheese making to achieve an orange color. It's there for color rather than flavor (it adds little to none), and you'll find it in cheeses like cheddar, Colby, Red Leicester and Mimolette.
Throughout the year, the availability of green grasses for grazing fluctuates. Because of this, with some cheeses, a mark of quality and seasonality was the orange pigment of a milk made with a diet high in green grasses. Because of this, some producers add dyes to their cheeses—including annatto— to achieve the same color throughout the year.