Are you using the C-Splash? The few of these that I've seen are usually hardwired on both the primary and secondary side of the power supply. I don't think a GFI would do anything for you since there is isolation through the power supply (It's probably a switching power supply).
It doesn't seem like there is a way to do this legally, but obviously these units are all over the US doing just fine. Have you tried calling Color Kinetics for their take. Some of their filed guys might know what has worked in the past. If all that fails, time to find a 24V DC GFI!
