I first used this facility when Calibre releases number's were still in double digits! So, unless the facility was broken in the particular release you mentioned, it is not a new facility
You do need to first delete any books from the collection that might already be present or you will not have met the criteria about "loading them all at the same time". Overwriting is not sufficient.
With a PRS-500 (not sure about other models), they also have to be loaded to the internal memory for collections (and thus collection order) to be recognized.