I don’t know CO, but yes if you requested a mail in ballot and the. Want to vote in person you must surrender your mail in ballot in order to be allowed to vote... if you don’t have the ballot to surrender, you will at best be given a provisional ballot and, when the check the records if there is no mail in ballot for you then your provisional ballot will be counted.
Colorado has "all mail" elections - sadly. So I don't think the one sent is required when going in to physically vote. Their system tracks if a vote was cast twice.