It's not common for the airline to involuntarily re-route you without notifying you. Make sure CO has your proper email address and that their email didn't go into your junk filter. CO won't call you on the phone in this situation.

If you are an elite member on CO or NW, you can upgrade that Y segment (SJU-IAH) now. Y upgrades are available at any time. If you are not an elite, you can do it at the 24 hour mark (I think). The IAH-SLC flight is an ERJ which means there is no first class seat to be had.

Unless you are heart set on going via EWR (for more miles possibly), just accept the change and fly the itinerary that CO gave you.

-RM