I think what you need to do is on that top line where it says "By Title" you need to make it say "By Collection."
Now my question is ... how to get that list alphabetized. I've tried the putting symbols in front of the Collection name like a period. That worked fine up until I restarted my Kindle. I could change the top line to sort by Title and all my Collections would be first, alphabetized. After the restart though, it mixes the Titles of all the Individual books right into the Collections again.
I must admit, I find this frustrating. I love having the ability to carry thousands of books however I am much too anal to except messiness on my screen. Somebody get me Amazon's Kindle Programming Department please.