We at Sainsbury's are always refered to as Colleagues, not just over the tannoy. The idea is to promote a working environment where everyone is treated equally, by using the term Colleague instead of Employee or Staff. Unfortunately though in the majority of stores, this is not the case, I will not go into why because this is a thread about Sainsbury's using the term Colleague, not about how they treat their staff.   
I work on the Customer Service Desk, and I have been told to say "Colleague Announcement" rather than "Staff Announcement" when doing announcement. I suppose it also gives Sainsbury's an added bit of difference to other supermarkets.
Also if you feel strongly about us using the word Colleague, why not pop to the Customer Service Desk in your local store, and fill out a feedback form, or as one of my colleagues said above, write to 33 Holborn, I'm sure both will love to hear your opinion.