This is possible in two ways:
- The MAX72xx has its own internal intensity control register. From the datasheet:
Digital control of display brightness is provided by an internal pulse-width modulator [...]. The modulator scales the average segment current in 16 steps from a maximum of 31/32 down to 1/32 of the peak current set by RSET [...].
This of course requires no extra components or effort, but you are limited slightly by only a 4-bit intensity resolution. Also, there is no 'off' so you'd have to either manually blank the displays or put the ICs into shutdown mode.
- Your suggested way is possible. However, the low frequency of the Arduino's PWM may lead to flickering if the MAX7219's internal segment current reference driver needs a steady voltage. You'll have to consider smoothing the PWM output through a low pass filter - the TL072/TL082 has two op-amps so you can use one for colour A and the other for colour B. I'd choose an op-amp over passive filtering because the current drawn from the Arduino will be negligible and the stability of the current into the MAX7219 will be improved.