You ommited the value of the most important resistors in the circuit! The resistors for each LED segment.
No I didn't...
Resistor values posted on attached image, the resistors from the LEDs are 1 watt 4.3, 4.3 & 6.6 ohms for the different colors (blue, green, and red, respectively)
But your circuit is explicitly designed so that EACH regulator supplies power to THREE LEDs. I don't understand this issue?
Sorry I should have been more clear. It was in fact designed to supply for 3 LEDs but because they are all on the same star I referred to it as 1 RGB led. The problem is that it is supplying the power for other groups of 3 leds, ie it is powering 6 or 9 total, which is more than it was designed to handle. My solution was to minimize power sharing from one module (consisting of 1 PNP transistor, 1 regulator, and 3 LEDs all on one heatsink) to another.
Do they get warm?
No the PNP transistors aren't the problem. Those don't get warm or cause voltage drop at all its just the NPN ones for which both of those things are true.
How much voltage drop? How much current? Those 2N5191 are pretty low gain. It appears that you aren't fully turning them on ("saturating" them) and that is causing your voltage drop and overheating. You may have to make a DIY "Darlington Pair" and use another small transistor to fully turn on the 2N5191s.
Its kind of hard to tell but I would guess around 1 volt from the brightness differential. Thanks for that advice, that was what I was thinking of doing, I've got some spare signal transistors.
If it were me, I would abandon all those voltage regulators and just get a more suitable LED power supply. You can probably get a nice 5V or even 3.3V supply from a surplus place (or charity shop) for practically nothing. Keep it simple. Your scheme with all those regulators is WAY too complex and problematic IMHO.
In hindsight I probably could have just used higher value resistors but its all integrated and its working except for a few minor problems. I got the source I did because it was the cheapest one I could find that fit my requirements, I'm on a pretty tight budget.
Something I forgot to mention is that I'm having a problem with one of my LED's. When it has no signal but is still on the main power it is off as it should be, but when I give it signal from the arduino, regardless of high or low, it decides to stay on. I'm not really sure why and the fact that its off when there is no signal makes it seem to me that its not a shorting problem. If anyone has any idea what could cause this it would be great