There are laws detailing what specific circumstances must be met in order to put the "made in..." label on a product. If someone purchases a frame, I think it's pretty clear that the origin of manufacturer needs to be indicated. Where the issue gets confusing is if a company imports raw frames and then does some finish work and paints them. Most likely the company can claim that the frame is made in the final country that did work on them. With a bike I think a company can purchase components from Shimano in Japan, a frame from Taiwan, and assemble in US - thus earning a "made in USA" label.
Seeing as to how this is a framebuilders forum...in my opinion, when you build a few frames yourself the mystique of the storied builders doesn't hold as much value as it did before. Some people put way to much significance in who, or what company, built their frame. So your Colnago was built in Taiwain, no issue from where I sit - other than you paid way too much.