I've never seen this mentioned in an official capacity at any of the companies which I've worked. But I do think that using colons excessively can start to make your code less readable and more of a pain to maintain.
I do tend to use these myself at times, for example when checking for cancel in one of my recent projects:
If _bCancel Then Status = CancelProcess() : Return Status
Putting this in kept my code readable than the alternative IF block.
But it can be taken too far, I've recently inherited a project which is replete with examples of taking colon usage too far :
Select Case GetStringValue(Index).Trim.ToLower
Case "yes", "y" : GetBooleanValue = True
Case "no", "n" : GetBooleanValue = False
Case Else : GetBooleanValue = Nothing
End Select
Personally I find the above to be a bit much.