Even though the interior doors are black, I would paint the back of the front door white.

So clean looking. What is paint color?

Yes. Either paint the side panels black. Or you can paint the front door white. But, they should be the same color.

I don't know that there is some hidden rule that says you have to do anything.

What do you like? What is your overall color scheme and goals for the look of the interior space.

You could use the sidelights for a pop of color, paint them black or keep them white, all depends on what you want as the final look and feel for the space.

IMO the side lights are part of the door structure and should be the same color as the door always I like the black but you need some lighting in the entry for sure