Hello,
Not all of the 29th Illinois were taken at Holly Springs - there was at least one detachment north of the town when Van Dorn captured it. Now the question is - where were the colors at this time? I would guess they were with the main part in the town and thus captured but am not 100 per cent sure.
When flags were lost or too shot up they were usually replaced by the Quartermaster Department after requisitions for them were filed by the unit in question. Thus, the statement that the unit had two sets of colors may reflect those possibly lost at Holly Springs (which should have been the flags issued to them when the unit formed) and then the replacement set.
Hope this helps. I had an ancestor in the 29th Illinois.
Greg Biggs