Both mean 'various, all sorts of', but is there some subtle difference or not?
There are some grammatical differences. 色々 can be used as a na-adjective, but 諸々 is used only as a noun. So we say 色々な but 諸々の. (We can also say 色々の, but it is less common than 色々な.) In addition, 色々 can be used also as an adverb.
Other than these grammatical differences, 諸々 sounds more formal than 色々 to me when used in contexts other than fixed phrases such as その他諸々.