That "sob story" cuts right to the heart of who Rockford is and what he desires in life, and it plays into one of the central themes in LeavingDNA - family.
Rockford is someone deeply traumatized by his past and his life experience makes him want to have nothing more than real kin. His actions may not seem rational to you or me, especially if that's an experience we've never lived ourselves.
Episode 4 sees some real change in Rockford's emotional life and that's mostly down to Colleen, or at least Rockford's perception of who Colleen is, i,e, real kin. If Rockford doesn't bond with Colleen, then he has little emotional growth and reverts to his usual closed-off self.
Jamie, who knows Rockford better than anyone, tells her brother, Trevor, that Rockford's recent behavioral changes are because of Colleen. She understands the void Colleen has filled in Rockford's life. An interesting aspect of this is that Jamie knows Rockford always treated her as a surrogate little sister, and now he has a real one. I wonder how much Colleen entering Rockford's life influenced her decision to leave and not pursue a romantic relationship with Rockford, since Colleen fills an emotional need of Rockford's that she knows she never can. It may not matter that Colleen isn't Rockford's real sister because Emmeline is. Anyway, it will be interesting if Epi 5 features a scene where Rockford tells Jamie who Colleen and Emmeline really are. I wonder what her reaction will be?
Why does Rockford want to look after and protect Colleen? Because he believes he has to give her something he never had. Remember, by the end of episode 4, it's only 30 days since Rockford first learnt he had a "sister," and 18 days since he first met his "sister." That's not a lot of time for Rockford to rationally process everything that's happened.
The whole point of Colleen and the DNA reveal is allow Rockford to finally confront the oversized importance he puts on kin above all else. It's the ultimate, dark mind-fuck. His "love" for Colleen has nothing to do with who and what Colleen really is; it's merely a notion inside of his own head. Will Rockford start to realize that he can have deep, emotionally-satisfying relationships outside of kin, and that he has had such relationships all along? Who will Colleen be to Rockford going forward, now he knows the truth?