The first one threw me off - I honestly forgot about that other report option. But yes, the second one was the one we wanted.
That looks like what you're aiming for - it added the collections from calibre and left the Kindle-only collections alone. Now all you have to do is see if there's anything you want to tweak or whatever, but if those collections listed are the ones you want, go ahead and run "Create Collections..." from the button menu.
When you run it, it creates a backup of your collections file, so we can put it back if you don't like it.