I agree with Pergrem. On my 2004 Silverado 2500HD Duramax, I replaced the fuel filter every other oil change, so 10,000-14,000 miles. I don't know where the location is on the Colorado/ Canyon, if it's easy to change, but on the 2004 it was very easy. They may have updated the fuel filters on these trucks to last longer, I dunno. I still have my stock one and the % life is around....50-60 I think. We have I believe 14,000 miles on the truck.
If it's easy, I might replace it around 20,000. The reason on the 2001 to 2005 6.6 Duramax engines (and it's good practice on any Duramax, or diesel, in general) that you changed them rather often was that the injectors on those trucks would clog up fairly easily, or go bad. Get crud in the tips/ jets and then they didn't operate correctly and made the truck run like....poop.....they are very small holes to squirt fuel through, so you wanted to make sure they stayed clean, and so changing fuel filters often helped that.
CAT made a fuel filter adapter, so you could get the big CAT filter and put it on those engines. It was a finer mesh, so you got more protection, and it had great flow through, and was dirt cheap, like $10-20 a filter I believe, vs. $40-50 for say a WIX or ACDELCO filter. I wish they made one for our engine, but I don't believe they do.
Anyways, you should probably change your fuel filters often in the trucks, if they're easy to replace and cheap enough to buy, to ensure long engine life. It should most definitely last you more than 1,000 miles, unless you got real nasty diesel fuel somewhere. Or just a bad sensor.