For his retaliation say I have my Colossus in the 1a corner of a map (upper left), and he is going to trigger retaliation on a character in the bottom left corner of the map (26?a). (they are in the same column, on opposite sides of the map)

I place Colossus adjacent, but still in the lat 2 rows (because he's 2x2)

Then there's the part about the close attack: "...targeting all characters in the rows or columns between where Colossus began this action and his current square..."

Do I have to pick between rows or columns?

Does picking rows effectively make everyone on the map a target?

If the target is in the same row as Colossus then you would attack everyone in the rows in-between.

If the target was in the same column then you would get to target everyone in the columns in-between.

Note that you can try to squeeze some extra enemies in by shifting Colossus.

If you start in A1/A2/B1/B2 and the opponent is in B24, you could shift Colossus over to C23/C24/D23/D24 and target all characters in A, B, C, and D.

Just keep in mind that it is all characters, so he will not distinguish between friend and foe.