Do all colon cancers start as a polyp than can be found and removed on colonoscopy, or do some not have a "polyp stage"?

Not all colon cancer. Approximately 85% of colon cancers do start as polyps. The other 15 percent occur in cases of chronic inflammation. Cancer can develop in patients with ulcerative colitis with no polyp stage. The chronic inflammation itself can be a precancerous state.
Multicause. While removal of polyps at colonoscopy without question reduces the incidence of colon cancer, it is probably true that some of the colon cancers did not start that way. Since detection of actual cancer takes place after they might have been in the polyp stage (or not), then we cannot back track to see. Your best protection is regular colonoscopies especially if you are at risk.