I couldn't tell you how the water columns (some folks call them water plugs) at Cumbres and Sublette work, but we have one at the Monticello Railway Museum (Illinois) and I can tell you how ours works. I think ours is an exL&N or exC&EI water column and it came from Danville, IL. This water column sets on a concrete valve box, the top of which sticks about 6" above the ground. The structure is about 3 1/2 to 4 feet deep, which puts the supply pipe below the frost line. It contains a spring-loaded operating valve (to prevent water hammer when the valve is closed) and the supply pipe. The original supply pipe was a 10" to 12" pipe. When the valve is opened, water flows up through the column and down the spout into the tender. When the valve is closed, the water remaining in the spout flows on into the tender and the water in the column drains back through a small orifice (opened when the main valve closed) into the valve box, which is then drained either to a sewer or other outlet. In this way, water never stands in the column so it freezing weather never causes it to burst - if all is working properly that is. Although much smaller in magnitude, a garden spigot works pretty much the same way.
Although this is how our water column at Monticello works, I assume that the ones on the C&TS work in a similar fashion.
Tom Scott Jr.