The rule that "CANNOT" takes precedence over the "Golden Rule" doesn't make sense because that would cause several heroes' abilities to not work properly, such as Kitty's ability to bypass Crisis icons.
This discussion is quite clear and concise: Colossus's HERO ability allows him to have two Tough statuses, and this ability overrides the basic rule of only one status per character. As soon as he switches to Alter Ego, this constant ability is no longer in effect, meaning he follows the general rules that apply to all other characters in the game, so he must discard one Tough status.