I think it shows up as illegal because the checker doesn't take in account that you can change the language in the PAL version of the game. I'm almost certain that Colosseum saves data about the language you start the game with. Any Pokémon you catch, will also have that language, even if you decide to change it afterwards. That is why your Ho-Oh shows up as Spanish, even though you changed the language to German, which is probably considered as a mismatch by PKHeX given Ho-Oh's OT name.