You now have to have series set as a collection to have them automatically ordered by series.
This will give you series collections as well as author sort collections but the series will be correct in both AFAIK.
Not sure why it has to be this way but must be some reason. Used to be you just sorted by series in Calibre before sending an it worked like a charm.
Gave me a lot more collections
Luckily for us the Sony has a fairly good collection navigator with the letters on the side
Helen