Is it obligatory to advise veiled female colleagues to wear the hijab, and would I be sinful if I do not do so, and what is the best way to offer advice?

Seclusion with a non-mahram woman is Haram by consensus, whether she is veiled or unveiled. The sin increases if she is unveiled. Advising an unveiled woman is an obligation of Fard Kifaya (communal obligation), and it may become Fard Ayn (individual obligation) if no one else fulfills it. It is not a condition that you must personally deliver the advice.