White light is comprised of all of the colours of the rainbow i.e. the light spectrum.
Combining the three different colours should have produced a small white area on the wall.
This is called colour addition i.e. adding up to white light. More on light by Museum Victoria.
Your object creates areas where the light from each torch cannot pass.
As each torch is shining from a different angle some light can still reach the wall, creating coloured shadows.
Try pointing a rod or stick in the middle of the focused 3 lights... you should see a magenta, cyan and yellow colour which are the secondary colours formed from the red, blue and green primary colours of light.