Set metadata management (preferences -> send to device -> metadata management) to manual management. With that setting, calibre will not delete any collections (or at least shouldn't).
One consequence of using this setting is that calibre won't manage metadata on the device, and in particular won't manage collections built from calibre's metadata. The assumption that calibre makes is that you are doing all the collection management yourself. Because of this, you might want to turn off all calibre collection creation, by going to preferences -> plugins -> device plugins -> Sony, and then setting the build collections box to empty.
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