I have a biography on C.J. Walker. The biographer writes that her attorney and general manager, an African-American named Freeman Briley Ransom, exaggerated the size of her fortune to a New York newspaper, which was actually around $600,000. The newspaper in question is not known, and whether or not Ransom even said this exactly cannot be confirmed. But understandably, the black community seized upon this myth to prove that blacks can achieve as much as whites when given the opportunity.

Perhaps the primary purveyor of the million-dollar myth was Ransom himself: "Madam Walker's fortune of $1,000,000 or more was built up from the wide sale of a hair restorer strictly."

-"On Her Own Ground" by A'Leila Bundles

Of course, even if she never was a millionaire, her accomplishments are remarkable if you examine her life in detail. But saying "the first woman millionaire was black" has more punch. The words first and millionaire carry a lot of punch. Casually say that to a guy in the street and he will go "wow, I want to learn more!"

The first self-made female millionaire in America was Mary Ellen Pleasant (1814 - 1904), and she was black. She is not remembered for this perhaps because by the time she died she had fallen back into poverty, whereas Walker died a rich woman. Pleasant amassed her fortune trading in gold, silver and mercury with her partner, Thomas Bell. When Bell died in 1892 his estate was estimated at $30 million, and since he and Pleasant owned property in common it is safe to assume she was a millionaire.

EDIT: fixed a few inaccuracies, apologies