When towing RWD (2WD) Colorado on a dolly, the rear wheels, differential, driveshaft and transmission output shaft are all turning. Most transmissions (auto and man) today do not have a lube pump operating in the trans when when engine is off. With a 4WD Colorado, you can put the transfer case in a neutral position. The rear wheels, differential, and driveshaft are all still turning, but since the transfer case is in between the driveshaft and the transmission output shaft means the transmission output shaft (and the rest of the transmission) is not turning.'
Remember when either 4-down flat towing or on a dolly.....the rear wheels are still on the ground and turning.
So yes, from the explanation above.. your assumption is correct.
Ron