US Marshals serve all kinds of warrants. This guy could have been a FTAP warrant or another felony warrant that was issued within the State. As for USMS advising LPD of the warrant/ fugitive, it's not like USMS is the only agency that goes after fugitives and they don't even have Inspectors anywhere near Limon. IIRC, the closest office is Denver or CoSprings.

RIP Officer. Gone, but NEVER forgotten.
-PondPirate