But to answer your question at the top of the page. Yes if you want to use Calibre to manage collections this way, then you do have to jailbreak, which can be complicated depending on what firmware your paperwhite is on, and add the prerequisites, and the Kindle Collection Manager, in addition to NiLuJe's Kindle Collections Calibre Plugin.
Once that is all set up, you set a column (such as tags) that you want to make collections from. You load some books onto the paperwhite from Calibre. You select Create Collections on the Kindle from Calibre.
Then you eject, unplug, and go to Collections Manager, start it up. Then go to settings and select "Import collections from Calibre." It can take a few minutes.
You have to do that each time you add books via Calibre (if you want them to go into a collection), if you don't, your changes will not appear.