The color is simply the result of reflected electromagnetic radiation to our eyes. The visible lights such as red, green, yellow are simply the electromagnetic radiation that can be perceived by our eyes and they are slightly different in wavelength. By definition, the color black means that all of the visible light are mostly absorbed equally, leaving little visible light reflected to our eyes. It doesn't require the absorption of all EM waves

Yes, as a result of the O₂ and O₃ in the atmosphere, a lot of harmful EM radiations, especially the Sun's ultraviolet radiation, are absorbed before reaching the surface of the Earth. Ozone is not the only layer that is protecting us, however it is the most effective layer of screening the harmful ultraviolet radiation. The O₂ in the Stratosphere could also absorb some of the harmful radiation, but not as effective as the ozone.