There is a way to do what you want, but you have to do it one book at a time. Go to collection sort method. Now the collections will show up first and then only books that are not in a collection. You long press on a book and add it to the collection you want. It will disappear from the home screen and you can tackle the next book and so on.
Alternatively you could jailbreak your PW and install collection manager which allows you to nest collections, import collections you can manage in calibre, create collections from file structure. Check out the dev subforum for research and see if that is an option for you.