I think the only reason people are making a big deal out of their security in Colombia is because the couple has recently expressed security concerns about being in London. As you pointed out, Harry is the King' son and his wife is the King's daughter-in-law, and for a couple so concerned with security, they seem to have no problem hopping off to destinations where their security will be handled by local authorities.
Regarding the Duchess of Edinburgh's visit, just sharing some experience as someone who was once involved in organizing a royal visit to my own country. Such visits, whether official, state, or working, require meticulous planning and coordination. The embassy representing the visiting official typically negotiates rigorously to maximize whatever courtesies the host country extends, which are usually tailored to the nature of the visit and the rank of the dignitary. About a week prior to the visit, an advance team—often comprising security personnel—arrives to coordinate with local security and protocol teams. They conduct thorough inspections of the planned routes and venues, assessing all potential vulnerabilities to ensure the safety and smooth execution of the visit. I wonder if the UK or US embassies (who coordinate closely with their own, and local security) are in any way involved in Harry and Meghan's visit, and if they are not, then I would bet a lot of money that the level of security that the Duchess of Edinburgh had vs Harry and Meghan's won't be on the same level.