There's a program someone made on the forums here called kindle collection manager. It will at least allow you to create and manage collections from windows. You can also do it by directory structure, so that may be of help to you.
https://www.mobileread.com/forums/sho...ection+manager
It's a hell of a lot easier than doing it manually on the kindle =X.
When you transfer something over it is available immediately. Indexing takes place in the background and has no real affect on what you can do with the device (other than draining battery power while it does it). You just can't search the unindexed books while indexing on those books has not completed which takes a minute or 2 per book.