Blightsteel Colossus is indestructible. The rules for indestructable says:
700.4. If a permanent is indestructible, rules and effects can’t destroy it. (See rule 701.6, “Destroy.”) Such permanents are not destroyed by lethal damage, and they ignore the lethal-damage state-based action (see rule 704.5g). Rules or effects may cause an indestructible permanent to be sacrificed, put into a graveyard, or exiled."
The rules for destroy says:
701.6. Destroy 701.6a To destroy a permanent, move it from the battlefield to its owner’s graveyard. 701.6b The only ways a permanent can be destroyed are as a result of an effect that uses the word “destroy” or as a result of the state-based actions that check for lethal damage (see rule 704.5g) or damage from a source with deathtouch (see rule 704.5h). If a permanent is put into its owner’s graveyard for any other reason, it hasn’t been “destroyed.”
Now, the crux of the matter. Pillar of Flame reads:
If a creature dealt damage this way would die this turn, exile it instead
Now, from my understanding of these rules, since the Colossus wouldn't die since it's indestructable, if they got enough lethal damage on it with Pillar of Flames being used on it, the colossus wouldn't be exiled since it would not die. Is my understanding correct?