CC is also defined by the State Constitution. In this case, local municipalities cannot make any law that supersedes. The requirement for CC is the standard can't be a BG. You also have to provide proof of experience with firearms. In general that means a military or police ID. A certificate from a class. Or an affidavit from an instructor verifying your are experienced. One thing I don't know is if the permit you have from AZ would qualify for that requirement. You'd have to ask your local Sheriff that one.
Regarding vehicle, Colorado views your vehicle as an extension of your home. You can OC or CC all you like, no permit needed. Handguns can be in any state you choose (loaded or not). Long guns and shotguns cannot have a round in the chamber. That's a function of the hunting laws. You can drive through Denver without any issues and their laws do not apply. But if you live in Denver limits, you have to abide by the laws.
Cops are going to be more fidgety in the higher crime and more anti-gun areas. Denver, Boulder, Aurora all tend to be a little less friendly. Partly because of the crime (Aurora) and partly because of the anti-gun attitude (Boulder). Colorado Springs just got in trouble recently for arresting an OC'er in a park. They got their hands slapped. So they are less likely to repeat that.
My suggestion, don't live in Denver limits. You'll be fine.