I mean colonies late game can make half a million credits per month, so they definitely pay for themselves many times over eventually. Also, heavy industry is a bad example: that industry definitely is one of the least profitable because it provides the additional utility of letting you build ships. I think if you just built farming/mining on a high resource, low hazard world, it would pay for itself pretty quickly: farming only costs 75k, so even small income like 20-30k/month would pay for the colony very quickly. Defenses are the expensive part, but that's more a question of how much you are willing to babysit. Also, colony items make a big difference. I'm sort of curious how something like a megaport or way station would stack up in terms of profitability early on. I would guess they would not be very helpful if you were trying to break even quickly, but obviously they are worth a lot later on when you have multiple industries.
I generally colonize late and dump money into my colonies because I like to wait and see what items I have to prioritize worlds, and I need something to do with my money once I scale up my fleet, so I guess I can't really speak from experience about small colonies.