There's a fair bit to unpack here, but in the absence of u/ProfRhodes I'll try to clarify where I can.

The first question asks about the Kongokonferenz and the level of awareness of Lobengula specifically regarding its outcomes. While some African rulers on the edges of colonial spheres did know about it--and some, like the Ethiopians, were very aware of it--most would not have the details. I've seen no evidence that Lobengula was aware of it, or its import. However, the existence of inequitable concessionary treaties and the mischievous idea of 'effective occupation' became clear to most in the years just before and after the Conference, and these were certainly matters that African rulers and societies communicated about.

By the time Lobengula signed the Rudd Concession, there were potentially other issues in play. The problem was that Europeans had shown themselves willing and able to undercut legitimate rulers (and each other) through the offer of treaties; in some cases, like Wuchale in Ethiopia which was also in 1889, the alternative for an African ruler was not to sign the treaty or concession and have a rival or usurper sign it instead, then use the Europeans as a means of effecting, uh, 'regime change.' The only way to prevent this was to sign the concession or 'treaty of commerce' and then try to work within it, or bide time before repudiating it. This was a significant part of, once again, the Ethiopian success against Italy; Menelik used the five years between Wuchale and his public repudiation of it to get his house in order and build capacity, which paid off stunningly in his defeat of Baratieri at Adwa (1896). Other African rulers sought similar kinds of breathing room despite objections they might have to such treaties, or else they sought to use those treaties to buttress their own authority and power (a la Buganda). The ultimate point here is that the 'choice,' by the late 1880s, often wasn't much of a choice at all.

Regarding the petition to Victoria, an instructive counter-example might be the baNgwato rulers of Bechuanaland (Botswana today), who successfully fought BSAC control through appeals to Victoria's ministers. In this, they had help from a number of British and Cape Colony figures, and the legal standing as a loyal protectorate since 1884 that Britain was in effect ceding to the Company. They won their return to Protectorate status (see Parsons, King Khama, Emperor Joe, and the Great White Queen). However, like them, and like Lesotho (which also managed to fight absorption to the Cape Colony militarily and win, returning to Crown Protectorate status in 1884; see Eldredge's books), the rulers used three major prongs in their appeals: they offered advantageous terms and status to the British government directly, made it clear their row was with the BSAC or the Colonial administration itself and not HM Government, but (and I'd argue most importantly) they also based their demands on pre-existing treaties of protectorate that they--and many of their friends in Britain--expected to have legal force in London. After all, if legal documents signed by the British government could not be trusted, this might create a real ethical problem and invite diplomatic challenge from other quarters.

In the case of Rudd, however, Lobengula had various limited agreements with the Boers south of the Limpopo and (if memory serves) a couple of tentative agreements to defuse any issues with the Portuguese, but no fallback legal position relative to Britain. For that reason, the Crown neither had the obligation to take them on, nor the incentive to upturn the Company doing in effect what the Company was chartered to do. Victoria's ministers could tsk-tsk but ultimately they weren't going to upturn Rudd given how many other company enterprises were essential to realizing British effective occupation and promised to do so without weighing on the Imperial treasury (the Imperial British East Africa Co. comes to mind as another with less than stellar diplomacy). One may put the experience of Lewanika in the Lozi kingdom (Barotseland, today part of Zambia) into the same category; his 1890s petition against deception by the BSAC in their creation of an extractive "British Protectorate" (1890) was also rejected. Of course, many of these concessionary companies failed and became public charges anyhow, but that wasn't certain at the time, and virtually every colonial power used such grey-area chartered organizations in their African colonial pursuits. The BSAC just happened to be one of the most powerful and ambitious, but their rather rapacious behavior was known widely across the region.

Regarding Coloured regiments putting down First Chimurenga, there's no case of entire Cape units supporting rebellion against colonial rule that I've heard. As no single 'African' identity really existed, but also that Coloured levies occupied a different sort of social space, shared interests would have been rare. Add to that the distances involved, and the chance of making common cause breaks down. This was true when levies were themselves Black, as well; the bar for loyalty and thus mobilization was quite high and depended strongly on people who were seen as 'without chiefs' or other competing bonds of authority, like the Fingoes or amaMfengu in the Cape Colony. Even then, Fingo levies fell into disuse rapidly after their role in putting down the rebellions of the early 1880s, which suggests that colonial governments were quite worried about the very prospect you raise.

One of the most famous cases of a colonial population--Coloured by later reckoning, though really Khoen at the time--involves the Kat River Settlement in the Eastern Cape of South Africa. Although the population there was part of a staunchly loyal armed body (and thus buffer) used in the War of the Axe (1846-47) and at other times, their smallholdings came under pressure from expanding settler demands, and when many groups of amaXhosa arose in the War of Mlanjeni in 1850 a large number of Khoen from Kat River joined them. The very complicated relationship there is the subject of Robert Ross's excellent The Borders of Race in South Africa (2014). However, I'm not sure of any other case where Cape Coloured (or proto-Coloured?) formations mustered by the government in Cape Town aided the foes of colonial government. More common was the turnabout of African allies of other kinds against a colonial power, but that's not the question.

[edit: neither/nor, not neither/or; fleshed out Botswana/Lesotho]