Maybe you didn’t want your kid to play with toy guns or toy soldiers, so you gave him some wholesome, creative Lego bricks. Which works until he uses the interlocking plastic pieces to make a tank.

Rome was not built in a day, and it’s unlikely that Lego’s new Roman Colosseum brick set can be assembled in 24 hours. The Colosseum is the toy maker’s largest set ever, a recreation of Rome’s most ...