I do have Calibre 8.35 and the latest Sony firmware.
I was doing just as you asked.
1) Formated the SD card
2) loaded books from Calibre
3) Copied the books.db before disconnecting
4) Disconnected
At this point I checked the collections, and MAGIC, they were correct. Not sure what caused this. I have done this same process at least 5 times and it has not worked, now it works. Nor do I want to mess with it now that it works. I will send the books.db if the problem re-appears.