For calibre to see books on a Sony, they must be stored in the folder (or a subfolder of) database/media/books on the device.
Please check your device settings again. They are in preferences -> plugins -> device plugins -> Sony. You should see something like attachment 1, except that your comma-separated list of items to turn into collections will likely be series, tags. Note "epub", and note that there is a check next to it. Do you have that?
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