"When hit by a damage-dealing move, a Pokémon with Color Change will change its type so that it is the same as that of the move that harmed it. If the Pokémon with Color Change has a Substitute, its type will not change if it is hit by a damage-dealing move until after the Substitute is broken. It will change both types of a dual-typed Pokémon which has gained this Ability. This Ability does not apply to Shadow."
It wouldn't change since Color change only activates when hit by a damaging move. Curse, when used by a ghost, is considered a secondary status. (You can switch out to get rid of it, and it doesn't direclty damage Kecleon.)