Calibre will create collections based on the series for Sony readers.
As was mentioned, check your Plug In settings to make sure that it is set to make collections from series.
Also, turn on Metadate Management to Automatic on the Sending Books to Devices under Preferences. This will cause the metadata to be updated when you connect your reader and collections created.
You can also make collections based on author's name or tags or custom columns with your own method of organizing your books.