If you're tapping in to the transformer plug (live and neutral) then you would simply wire the ground of the power cable to the service outlet, or playfield support bar. Otherwise, as you point out, the ground the ColorDMD would normally get wouldn't actually be grounded.
That said, I don't think it would be wise to wire an external PSU directly to the ColorDMD, if that's what you meant. Where would it be fused?