Here's my shot at an explanation. Somebody please correct me if I am wrong.

You set the camera to shoot in BW. The RAW file still contains all the information including the colour information. With the BW setting, the camera is converting the RAW information to a BW jpeg and displaying that on the back of the camera. What some people don't know is the RAW image has a jpeg imbedded in it. So if you had set you camera to RAW + jpeg you would be getting.
1 - RAW file which has all information including colour
1 - imbedded jpeg (in the RAW file) in BW
1 - separate jpeg file in BW