To install a campaign on FS2 retail, you had to move everything in the campaign's folder into freespace2/data. The campaigns usually came with installation instructions. You couldn't really have two campaigns installed since they'd overwrite each other- for instance, if they both added new ships they'd both be using a ships.tbl, and you can't have two separate ships.tbl's in freespace2/data/tables. Basically, installing mods in FS2 retail was a terrible experience and it's much better now.
This is ignoring the fact that no campaigns released in like, the last decade, work on retail (other than Port and ST:R). There's so much more that FSOpen can do that campaigns take advantage of. There's not really any reason to run retail anymore since FSO does everything retail does, but better.
FS2: Colossus is an OEM version of FS2 that only includes part of the campaign (up to the introduction of the GTVA Colossus). I don't know much about it, but I'm pretty sure it also doesn't include tons of ships and weapons that mods would depend on (as well as, of course, the rest of FS2, which is awesome). The GOG version is not FS2: Colossus.