I moved to SD in 8/2017. All of 2018, my employer collected CO taxes (I work remoteley). SD doesn't have a state income tax. CO does. Can I request the $ paid to CO ?

If you never physically worked in CO in 2018, you'll have to file a non-resident CO tax return, showing zero CO income, in order to receive a refund of the incorrectly withheld CO taxes.

You may have to print & mail the return; some states don't accept e-filing of returns showing zero income.

You've probably done this already, but advise your payroll office that you're no longer a CO resident, and no longer subject to CO withholding (as long as you never physically work in CO).