Should I lead an applause after introducing colloquium speaker?

"Please welcome our guest ..." and applaud with the crowd.

Presumably you have attended to invited speeches before?

For a public lecture, yes. You are inviting the audience to show their appreciation for the speaker and the effort it takes to address a public audience, and to acknowledge the opportunity afforded them to see and hear the speaker.

In turn, when I first start speaking to a public audience -- regardless of whether I get a welcoming round of applause -- I always thank the audience for coming to my talk. The combination of welcoming applause and sincere appreciation towards the audience makes for a positive shared experience, right from the start.

Things are different for non-public talks, such as at your department's colloquia, or a workshop, or (non-keynote) conference speaker. Here, the vibe is that the talk is expected and, in some regards, a routine part of the job of an academic. Showing up and presenting is expected, rather than a treat, or something out of the ordinary.