Where do you get that it was a selected audience of fans only rather than a change to the established protocol.
It was reported in the Daily Mail. But since you’ll doubtless turn your nose up about that, it’s fairly easy to establish his segment was pre-recorded. So they were right about that.
The Stephen Colbert show with Prince Harry on it was screened in the US on Tuesday 10 January. It is taped in the Ed Sullivan theatre in New York, which is 5 hours behind UK time. It is filmed between 5pm - 7pm on the night that the show airs (all of this information is a viable on the actual site for the show, which has information for people who want to come and see it.
That means that the show that featured Prince Harry was recorded starting from 10pm UK time on Tuesday 10 January. There are plenty of photos out there on twitter showing Harry arriving at the Ed Sullivan theatre (with a bodyguard carrying a “Glock Box”) that were taken on Monday 9 January.
(The “had to be pre-taped for security reasons” is bogus too - Obama appeared at the Colbert live taping when he was a sitting president!)