Adamantine colossus = sweet idea!
I'd like to think of such things as these colossi as perhaps god-created beings or avatars of the gods themselves perhaps once placed upon the world to take care of HFS back in the days of yore. That's just what I think would be neat. It would make sense, in that case, for an adamantine colossus to be near indestructible, or indestructible with any dwarven tech, or something. Perhaps their purpose could be procedurally generated like the rest of history in the game... >.>
Also, I hope people don't have the idea that warhammers are supposed to be heavy IRL. They were made out of iron, copper, bronze, etc. and weighed, in general for single handed ones, no more than 5 pounds. Lead and platinum would be crummy as they would a.) deform readily, making the weapon useless after striking (I know durability isn't in the game...), and b.) if made identical in design to IRL ones would be too heavy to be wieldly. I mean, density is an important factor up to a point (i.e. styrofoam is not a good material for hammers, nor would adamantine for that matter), but a hammer should not weigh more than about five pounds, regardless of material, otherwise it would be too slow of a weapon and thus easily countered. There is absolutely no advantage to using lead or platinum or anything more dense than iron as a material for a warhammer unless said materials are more economical and/or have a structural advantage. This most certainly should be reflected in this game.
As for an adamantine colossus, I'd say it being a sharp and fast machine of slashing death would make sense and be hella-awesome.
For the record, I am all for some indestructible or near indestructible mega-beasts, at least at a later date when armies and combat are worked out better. I think ballistae and catapults should be able to knock down and physically move an adamantine collosus, but they probably shouldn't really damage it much. Bronze collosi should be tanks, hardly affected by all but the most lucky of siege weapon shots. I think anything short of a well-placed hellfire missile (or fluffy wambler) to a vulnerable joint shouldn't kill it right off. At least that would fit my vision of them being god-created beings...