The chlorine is not to bleach them orange (carrots are naturally orange, what colour would they need to be to start with for bleaching them to make them orange?), it's to prevent food borne pathogens when the cut pieces are stored. It's also found in tap water. There's no evidence that this process strips the carrots of their nutritional properties.
It is a bit dodgy that they imply that the carrots are something they're not. If you check the packaging it should tell you whether they are "baby carrots" (the real deal) or "baby cut carrots" (bigger ones that have been cut down).