In MediaWiki, field labels have colons in the English locale. If there are supposed to be other considerations, can we get some more info?
What are "field labels" ? The message that I intedend to change was d:MediaWiki:Wikibase-datatype-label. According, to its documentation, it was intended to be used as a header in templates, and the colon looks out of place there.
See https://translatewiki.net/wiki/MediaWiki:Wikibase-datatype-label/qqq for the message contact. That clearly identifies it as a field label. If there needs to be a message that can be used as a column header, this is not the one. You should create a bug report.
See http://www.w3.org/TR/html401/interact/forms.html#h-17.4.2 for example of field labels in forms.