You need to export the collections from CM (on the Kindle) first, using the menu item, before you can import them in calibre. The same holds the other way: if you export them from calibre, you need to import them afterwards in CM.
The reason is that calibre only works with json files ("system/collections.json" on the Kindle, to be exact), and that this file needs to be merged with the internal collections database when syncing TO the Kindle, or (re-)created from the internal collections database when syncing FROM the Kindle.
I suppose that this is the problem you're having. Otherwise, please provide more input
