Because helmut betrayed his own country by joining/aiding Lazlo's army. By saying "There is more than Kooluk in this world", Colton implied that when the war is over, Helmut must go somewhere else. If Helmut stays with lazlo's army, he is continuing his betrayal. If Helmut returns to kooluk, he will be executed. Colton despises what Helmut is doing, but Helmut is still his son. That's why after the war, he chose to accompany "the traitor" instead of going back to Kooluk.
concerning Colton's refusal to join lazlo army, that's how a military man is in real life life. In military, hierarchy is very strong and one follow orders blindly without questions. At least the game got it right.