This is because "Colonial" in this context refers to a specific architectural style, and proper nouns are capitalized in English.
For example:
* "The house is a beautiful example of Colonial architecture."
* "We visited a museum with a collection of Colonial furniture."
However, if you are referring to the historical period of colonization, you would not capitalize "colonial."
For example:
* "The colonial period in America was marked by significant political and social change."