The Golden rules together with the rule for CANNOT that Haze01 has mentioned are key here.
- The CANNOT rule does not allow any character to have two tough status cards
- But one the golden rules says:
"If the text of a card directly contradicts the text of either the Rules Reference or the Learn to Play book, the text of the card takes precedence."
So, while Colossus is in its Hero form, the text in its card takes precedence and it can have two tough status cards. However, as soon as it flips to alter ego, that ability is not in effect anymore and the CANNOT rule applies again, discarding one of the tough status cards.