The clinical presentation of dengue ranges from self-limited mild illness to severe forms, including death. African ancestry is often described as protective against dengue severity. However, in the Latin American context, African ancestry has been associated with increased mortality. This "severity paradox" has been hypothesized as resulting from confounding or heterogeneity by socioeconomic status (SES). However, few systematic analyses have been conducted to investigate the presence and nature of the disparity paradox. We fit Bayesian hierarchical spatiotemporal models using individual-level surveillance data from Cali, Colombia (2012-2017), to assess the overall morbidity and severity burden of notified dengue. We fitted overall and ethnic-specific models to assess the presence of heterogeneity by SES across and within ethnic groups (Afro-Colombian vs. Non-Afro-Colombians), conducting sensitivity analyses to account for potential underreporting. Our study included 65,402 dengue cases and 13,732 (21%) hospitalizations. Overall notified dengue incidence rates did not vary across ethnic groups. Severity risk was higher among Afro-Colombians (RR=1.16; 95% Credible Interval 95%CrI: 1.08-1.24) but after accounting for underreporting by ethnicity this association was nearly null (RR=1.02; 95% CrI: 0.97-1.07). Subsidized health insurance and low-SES were associated with increased overall dengue rates and severity. The paradoxical increased severity among Afro-Colombians can be attributed to differential health-seeking behaviors and reporting among Afro-Colombians. Such differential reporting can be understood as a type of intersectionality between SES, insurance scheme, and ethnicity that requires a quantitative assessment in future studies.