I'm not sure how to add the point to the label, but an easy way to labe with color can be done in the following way:
var1 <- sort(runif(10, 0, 1), decreasing = TRUE)
var2 <- sort(runif(10, 0, 1))
plot(var1, pch = 20, ylab = "")
points(var2, pch = 20, col = "grey")
mtext("Var 1", side=2, line=2)
mtext("Var 2", side=2, line=3, col="grey")