I've used collections on both Kindle and Sony, but unless something has changed, Kindle doesn't read tagging from Calibre and Sony does. You have to go one-by-one on Kindle and assign the book to a collection... I find it difficult to see what's already been tagged and what hasn't. And if you lose your device or get a non-Kindle device, all that hard work is gone, whereas tagging it in Calibre means it can be transported to many devices.
Collections are one area (ePub being the other) where I think the Kindle suffers in comparison to Sony.
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