Step 1: Understand the factors for colouration.
Compounds can be coloured if they have partially filled d-orbitals, which allow the absorption of light in the visible spectrum. The transition metal compounds are typically the ones that can exhibit such properties.
Step 2: Apply to the options.
- Ag$_2$SO$_4$ and MgF$_2$ are both ionic and do not have partially filled d-orbitals, so they are colourless.
- CuF$_2$ is a transition metal compound and can exhibit colour due to the partially filled 3d orbitals of copper.
Step 3: Conclude the correct answer.
The only coloured compound among the options is CuF$_2$, so option (B) is correct.
Final Answer:
\[
\boxed{\text{CuF}_2}
\]