Yellow, orange and red bell peppers are different types and come from different seeds. The green on the other hand is an unripe pepper, usually red. That's why the green tastes very different and less sweet that the others.
Yes, you are right. Bell peppers, as they ripen (on the plant), change color and increase in sweetness. They start out green, and if harvested then, are slightly bitter (and cost less). As they ripen, they change color, from yellow to orange, and are red when fully ripe. The ripe red bell peppers have 11 times more beta-carotene and 1.5 times more vitamin C than green peppers. They are sweeter and just a touch fruity tasting. Yum.