Hello and welcome to the forum!
Your concerns regarding Advance tickets are entirely understandable as sadly, the general rule on the railway is that if you miss your first train whilst travelling on an Advance ticket, it has no further validity at all. Therefore you'll want to buy a "walk-up" (Off-Peak or Anytime) ticket, since these aren't tied to a specific train or itinerary.
A through ticket from Heathrow to Colchester is routed "+via London" and is therefore valid on either the Elizabeth line or the Heathrow Express. Because it's valid on the HEx it's quite expensive at £65.60 for an Anytime Day Single (there's no Off-Peak version).
Normally, the alternatives involving 'split' tickets would involve tradeoffs between the cost and the trains you can take (e.g. whether you can take fast trains that run non-stop from Stratford to Colchester). However, Greater Anglia are currently selling promotional Hare Fares for £18 between London and Colchester. These are intended for a day return journey, but there is nothing stopping you from using them for a one-way journey and 'throwing away' the return part.
If you are happy to leave Liverpool Street at 09:30 or later (the Hare Fares aren't valid before then), this would be ideal. You would use Oyster/contactless for either the Elizabeth line or Piccadilly/Central line from Heathrow to Liverpool Street/Stratford (costing £13.30 or £5.60 respectively), followed by the Hare Fare for £18.
The Hare Fares can only be bought through the
Greater Anglia website or app, unfortunately.