I mean, technically yes, but it's an unlikely situation. It's usually pretty obvious when a colony gets built (flotilla of four or five subs including a Dreadnought or two, plus often a country leaving), the Alien Activity graphs are a dead giveaway (as are the supply runs, if you have a Transmission Resolver), and they're numbered in order of construction so if you miss a couple early on you'll know about it when you find later ones.
I'd say that if you know there's a colony there, you're supposed to find it. But honestly this is the least important of the challenges anyway.
Attached to the OP, with instructions.