Gerben, as far as I know the answer is no. But you could create your own custom color legend in a graphics program and then use the image object to bring it into a dashboard. It won't change dynamically, but in some cases that can be better. Hope this helps,
I was going to respond to this one, but the Tableau Customer Conference got in the way. One way to create your own custom color legend is to use Tableau to build a worksheet using the Circle mark, then you can put that on a dashboard.