A relevant rule is under Status Cards (RRv1.6 p38)
A character cannot have more than one status card of each type at a time.
My understanding is that, when a constant ability (like Colossus' hero form ability) or the Steady keyword ability breaks this rule, if the rule-breaking ability goes away then the game would have to respect the rule, above, and discard the excess status card. That said, Steady has been around for much longer than Colossus and I don't see an FAQ or rule confirming that the player is meant to remove excess status cards if a character loses the Steady keyword while already having two stunned or two confused status cards.
Humorously, there's also the lovely rule "Cannot" (RRv1.6 p11)
The word “cannot” is absolute and cannot be countermanded by other abilities or effects.
• If two abilities or rules conflict, the ability or rule with “cannot” takes precedence.
The clarification bullet point under "Cannot" was added with v1.6
So, arguably, Colossus' ability and the rules governing the Steady keyword actually don't allow a second copy of a status card to be placed.