Spy looks angry at himself, because if you get caught you've failed as a Spy. That blow to his ego and to his professional pride must hurt more than the injuries he sustained during his rough capture and interrogation. Thankfully, Grey Mann is a gloater. That is something Spy can work with. Even without his knife and his disguise kit and invisibility watch, Spy can rely on his talent for manipulation.
Or maybe Spy let himself get captured on purpose, to get close to Gray Mann and his secrets, hoping the man does not know about the mercenaries' source of immortality... the respawn. Dying was always part of the Spy's plan.
There are unpainted models, RED, and BLU models of the robots in the SFM and TF2 game files.
Technically, the robots should be grey, because their master is "Gray Mann", as they indeed were in the Mann versus Machine video trailer Valve made in 2012. Originally, the MvM game mode was hyped as "co-op play", with the idea of mercenaries from RED and BLU fighting together side by side to destroy the robots, as they do in the trailer.
Then, for whatever reason (I've read several explanations and rumours) Valve decided to make all player slots on MvM mode RED and put the robots as the BLU side. *sigh* Maybe it was easier to program, as the game is already set up for that. But you can't tell me it wouldn't be possible to reprogram it so that RED and BLU form one team (making the colours purely cosmetic and RED Medics able to heal BLU characters and vice versa) and the robots into the opposing team. After all, you can already heal disguised enemy spies, and "friendly fire" can be toggled on and off via console commands. Also, the 2013 Halloween fight against Merasmus added a "third team" in the form of Merasmus. So I think Valve just got lazy.