The Tony Pete refers to is at lathes.co.uk. Wonderful source of information and he sells manuals and stuff.
Unfortunately the circuit diagrams have been compressed by the internet and most of the text is unreadable. Can you post the bottom page only, which might solve the problem. or zoom in on the area ringed in red?

No sign of a rectifier, but the circuit inside the ring appears to show two single pole relays, purpose unknown because I can’t read the text. Relays might well be marked 1,2 for the 220vac coil and 3,4 for the switch contact. If necessary draw the ringed area by hand?
I’d wait to see what others make of the circuit diagram and other information. But, leaping ahead, if the broken part is a relay, it explains why no heat-sink, and why the part doesn’t look like a typical rectifier. (Though it might be.)
If we become confident it is a relay then a resistance test with a multimeter should show a highish resistance, say 15000 ohms, across the coil (1&2) and an open circuit between 3 and 4. Also open circuit between 1 and 3 & 4 and 2 and 3 and 4. These tests are safe.
If the safe tests are all good, relay operation can be tested. DANGEROUS so don’t risk it unless the tester is competent. I’d wire everything up securely on a bench and apply fused power via a switch to make sure I don’t get electrocuted or burn the house down. Anyway, applying 220vac to the coil (1&2) should cause a slight audible click and a multimeter between 3 and 4 should go from open circuit to zero ohms.
Good news: relays and rectifiers of the size pictured are both common as muck and inexpensive. Relay more expensive, about £10. The problem is identifying what the thing is.
Bad news: might be difficult to find an exact swap making it necessary to adapt one. How to do that is the next issue.
Be warned, I’m armchair engineering here. Never been inside a Colchester, and might be joining the dots wrongly, especially as this one is mysterious. Wait for those who know the actual lathe to comment.
Dave