I just drew one black rectangle. I then changed the foreground colour to red and drew a second one on a new layer, but this remained black. I had to go into the fill options and change it to the red colour I desired, but I'm wondering why it was not enough simply to change the foreground colour before drawing the new shape?
I think it is simply a decision by Adobe to have the shape fill color independent of the foreground/background color. I'm not sure the motivation, but agree that I'd rather they were in sync.
It behaved this way because you changed the foreground colour while the shape was selected, so it only changed the colour for that selected object.
If nothing is selected and you change the foreground colour (or stroke) then shapes created from then on will be of that colour.
The above method would work on older versions but in more recent versions such as CC and CS6, shape colour is not affected by the foreground or background colours. When the shape tool is selected colour options are at the top.