>>43859975Gale is the continuation of Colo. You can't re-obtain any shadow pokemon you fail to catch in Colo and purifying is a slower process as shadow pokemon have only one attack and often go into a confusion-esque state. Shadow mons in Gale have more than one attack and don't go into their confusion mode as frequently. There's a few dungeons in Colo that don't return in Gale but Gale has PokeSpots which are places where you can catch a handful of wild pokemon and re-obtain lost shadow mons.
Neither of them are timesinks. You can clock each one in about 20 hours. You may as well play both, but you're not missing any important plot elements by skipping Colo.