I think the problem is that drawing with colz you don’t get a 3D plot, and the colour scale is a TPaletteAxis (not a TAxis), which does not have SetMaxDigits, as well as other TAxis methods. If you draw with “lego2”, for instance, you get a z-axis on which you can use SetMaxDigits, etc.
Edit: you can actually get the axis from TPalette:
Thank you, @couet and @dastudillo, for the explanation. This behavior is not intuitive, as one expects "COLZ" to simply be a way to represent the z-axis, but I imagine it would be quite a lift to change. Perhaps such a change could be incorporated in ROOT 7; I’ve submitted a JIRA feature request here.