Would Pillar of Flames get rid of a Blightsteel Colossus?
You are correct. The answer to the problem is no, the Colossus would survive.

The reason is within the Pillar of Flames' text: 

If a creature dealt damage this way would die this turn, exile it instead


This works as a replacement effect that places the card in exile instead of the graveyard.

Blightsteel Colossus is indestructible, so it would not be destroyed by damage to begin with and never trigger the replacement effect.