They do need full sun. This is common for many plants that achieve color in the leaves. In a shady location the plant is not able to develop the color pigments they can in a sunny location. The fall color you see is because the predominent green is disappearing leaving the red, orange, yellow, etc. to be seen.
The substances responsible for the red to purple colors in a leaf are called anthocyanins. The anthocyanins are formed by a reaction in the leaf that requires sugars in the sap and light shining on the foliage. Thus in shady locations plants that would normally turn a bright red in the fall will lack the red color.
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