There is a pirate shipyard in the area of the planet you settled. One of the ships attacked and conquered your colony. A pirate ship also destroyed the ship you sent to investigate. You didn't see them because they have more sensor range and more moves than your ships do. They alpha currently doesn't do a good job of showing when and where things like that happen.
Your starting survey ship can handle the pirate ships. There are three of them at each shipyard. Once they are gone, the shipyard doesn't make more. You can then attack and conquer the planet they took from you. Another way it to use your survey ship to attack and conquer the planet first. They will try to take it back, but you can use your survey ship to destroy them. You can also send a fleet of ships to do the same thing, if you have the tech to make armed ships.
There are also Space Monsters and Precursors in the galaxy that can conquer your colonies. They are more powerful than your starting survey ship and are also more powerful than any ship you can build early in the game. You will eventually be able to build fleets that can win, but at great losses to your fleet. It will take a while to get rid of them.
Pirates destroy colony ships. Space Monsters and Precursors can capture them and use them to settle their own colonies. You can also capture the colony ships they acquired by capturing your colony ships or the colony ships of the other races.
If you settle a colony and turn it into a core world, none of them can build transports to take it from you.
