I don't think there's any guarantee that the Collossus would have worked against a Lucifer. Another Lucifer represents doomsday to the GTVA, so they're going to do anything they can, spend all the money they think they need to - to prevent that doomsday. A modern day analogue would be the missile defence system the US is trying to implement - there's no evidence that they'd be able to stop every bomb the Russians (or whoever) would launch - in fact there's good evidence they probably wouldn't - but they're spending the money anyway. The Collossus might be the same thing - concentrate enough armour and firepower in one place, throw the best modern technology at the Lucifer and... hope.
Not to mention that the Lucifer might not have been the only consideration for the GTVA. Sure, "Stopping the Lucifer" would have been what they told people it's purpose was, what they put on all their funding bills and whatnot, but it wasn't neccesarily the only thing they were thinking about. Maybe they never thought the Shivans would return, or that it wouldn't be for hundreds of years - perhaps the Collossus was built as a terror weapon, to control people through fear. Or maybe its purpose was the complete opposite - maybe it was primarily a symbol of the military unity of the Terrans and Vasudans, forcing both species to commit equally to a truly joint project, with a nominal goal of stopping another Lucifer, but an actual goal of simply having a huge project where thousands of Terrans and Vasudans were working together. Or maybe it had a more direct purpose related to unity - whoever controlled the Collossus would have been the dominant species - maybe the idea was to ensure that neither species, and more importantly no small groups from within either species - could ever turn on the other, due to the overwhelming firepower available to the forces of unity.
In short, I don't think it's appropriate to say that the mere existence of the Collossus is evidence that it would have worked against the Lucifer. In fact, given that the GTVA already has a viable - though perhaps not entirely ideal - method for eliminating Lucifers, might have pushed the "bonus" factors - increased unity, control through terror, whatever - into priority position, according to the idea that "If it works, great, no more lucifer, if it doesn't we can always bomb it to hell in subspace".
NB - I'm personally of the opinion that only certain highly potent weapons would be able to penetrate - so while a BFGreen might be effective, an SGreen? No chance.
