Rampant Wolves raced into a 3-0 half-time lead with Michael Jacobs opening the scoring after just 50 seconds before Dave Edwards and James Henry looked to have put the result beyond doubt.
But Alex Gilbey then launched Colchester's fightback in the 52nd minute with the club's first goal at Molineux on their sixth visit and the first of his career.
David Wright really set the alarm bells ringing with Colchester's second after 71 minutes before Freddie Sears was denied an equaliser six minutes from time when his effort his a post.
Nouha Dicko finally ended Colchester's hopes of a comeback in the fifth minute of stoppage time.
Jackett said: "Colchester changed their system in the second half and that gave us problems when they went to diamond in midfield. We didn't handle that system change well enough and it made it closer than it should have been.
"But having said that I thought we played some fantastic football, we scored four goals at home and on the chances we could have had many more.
"Overall it is a very good night for us as results elsewhere have gone for us.
"We have to now look forward to two hard away games (MK Dons and Stevenage) and really see the opportunity.
"But you can't brush it under the carpet and not say that we should have done better.
"We didn't cope well enough with Colchester's system change but also we have to look at the football we played as that was terrific.
"We have a lot of games in this period and they are pressure games, there is no doubt about that for the side at the top, which we are.
"Some of the football that we played was excellent and we were thinking we could have done better in a certain period of the game and it almost cost us.
"But ultimately we then broke and scored a cracking fourth goal.
"The game could have gone either way at the end and as I said we are not happy, but also there are a lot of positives and we should take those out of it and also learn from the mistakes we have made. I do think it was the right result in the end.
"It is a tough division and when the games come as thick and fast as they do it is hard to be 100 per cent for each and every game.
"There have been other instances this season when we have been looking to coast, which we shouldn't do because it is hard to turn it on and off like a tap."