Should I talk to the colleague ?
Document and hand off to HR. If the colleague comes to you and asks if you reported to HR then you can be honest and say you did because you were concerned for their well-being.
Talking to them doesn't really help them. It forces them to decide if they want to endorse you talking to HR or to claim it was "no big deal". HR is (supposed to be) trained to deal with this kind of situation and should be better equipped to decide how to proceed.
It isn't your responsibility to gather proof or to make a career-impacting decision about these two people, that's for HR, legal and senior management to deal with, and they have the tools and processes to actual investigate. (Check your employee handbook, companies I have worked for in the past require employees to cooperate with HR investigations and refusing to comply can lead to termination). If there really wasn't any problem then HR will take no action (they don't want to get sued for wrongly terminating a manager either).