Simple answer: 1903
There are plenty of pictures of South Park and Clear Creek locomotives with those elegant sweeping rock guards on their pilots until “circa 1900.”
The seem to be three “eras” of South Park and Clear Creek pilot:  the graceful long pointed wood pilots of the DSP&P, DL&G, CCRR, UPD&G and early C&S with those elegant sweeping rock guards,  the squatter stubbier wider “transition” wood pilot pilots and  the ubiquitous latter day boiler tube pilots.
The  graceful long pointed wood pilots with those elegant sweeping rock guards had the long link and pin shanks mounted to the pilot beam,  the wood pilots that were “squished” squat, stubby and wider to accommodate automatic knuckle couplers mounted to the pilot beam and  the ubiquitous latter day boiler tube pilots that were fashioned so due to (a) Colorado or Federal ICC fiat (?) and/or (b) maintenance convenience – what better use for all those boiler tubes ?!?
Colorado law forced the C&S into converting from link and pin to (Janney) knuckle couplers in 1903. The C&S for whatever reason switched to boiler tube pilots around about 1915
I’ve seen NO pictures of those elegant sweeping rock guards on the squat stubby wider wood pilots with their automatic couplers. Indeed, the squat stubby wider wood pilots appear to have been widened in order to guard and protect the cylinder cocks from wayward rocks, obviating the need for those elegant sweeping rock guards …
I agree, John. For an easy reference to a pretty late use of them on the C&S, the rock guards are still in place behind the skiff plow in the photo of #8 at Union Station on the header of this forum. They actually supported the little plow, same as on #8's sister engine #7.
#7 was the last of the old DSP&P Cooke Moguls to be reboilered and rebuilt, so my answer to the question could be the date that #7 went into the shop in 1902.
But for sure #22 had an old style pilot after it's rebuilding as a DL&G engine in 1894, so it and sister engines #21, #12 and #13 may have been the last engines to lose the old pilots and rock guards which may well have been 1903.
The Short pilots were brought about by the Safety Appliances act that required knuckle type couplers - L&P being outlawed. (For what ever reason long shanked knuckle coupler were apparently not a good idea).These pilots began appearing as early as 1901 - probably earlier. Consider No. 60 at the Washington Spur wreck in Feb. 1901. To my mind the rock guards simply were not practical on the Short pilots. But notice that the Long pilots may have been structurally less robust that the short pilots and that the short pilots were VERY heavy (in construction). It is my opinion that they stopped using rock guards when they installed the first Short pilot and that the guards continued to appear simply because the attrition rate was governed by how quickly the pilots could be replaced.
If you really want to ask a stumper question try this; Why does a post 1906 locomotive still use a link coupler on the pilot plow when L&P were already outlawed? (Page 387 Pictorial Sop. the DSP&P - No. 57 - and I've seen others too.) Oh, and how do we KNOW this photo was taken in perhaps early 1907?
Side note - in case you missed it; Bill Meredith now offers brass castings for the TOC pilot as I like to call them. I designed these pilots for S scale Overland Models so that I could readily backdate my locos. They are actually good up until the early to mid teens when again the Safety Appliances rules required steel pilot beams. I've received a few of these castings and they are beautiful. Thank you, 10 years of intense research of early C&S motive power.