Planted bell peppers a month ago in seed starting cells, and they have grown slower (germinated slower too) than the tomatoes and zucchini I planted at the same time. The leaves are turning a different colour a little bit and I'm wondering if they need to be moved or something done for them to flourish.
They look quite large for the modules they're in. Seed compost doesn't have many nutrients in it, and they may be drying out too quickly. Pot them on into bigger modules or individual pots, with well-drained but nutritious compost (with good organic matter content), and make sure they're getting plenty of light at this stage (it's just the fruit you don't want in direct sunlight, when that forms).
In my experience, it's very normal for peppers to grow more slowly than tomatoes and especially squash (squash can grow fast).
Peppers can grow faster if it's warmer. In my experience, Capsicum chinense grows more slowly than Capsicum annuum and Capsicum baccatum. If you have them indoors, be sure to have some ventilation when it's warmer, or they may be more prone to foliar diseases and/or edema.
Your peppers probably need some nutrients (repotting would probably fill the need, but other things can help, too—although when the plants are bigger and thirstier, the soil may dry out too quickly if you don't repot or transplant). I like to give my seedlings a little wood ash (sprinkle it on top and water it in). peppers seem to like it. Note that it can raise the soil pH since there's a lot of calcium in wood ash (but with such a small amount of soil, you probably don't need to worry about that). Most people would probably just fertilize and/or repot them, though, and that's fine (but I don't recommend fertilizing with nitrogen directly after repotting).
I'm not a big fan of repotting something I'm going to transplant anyway; so, I usually just use somewhat larger containers than the average, and make sure they have enough nutrients/water.