Hello,
I've seen FAQ and there is note, that you cant manipulate kindle collections via USB... but actually there is way - all collection info is stored in collectioon.json, which can be manipulated easily - you see, there is even web application to create kindle collections -
http://www.accwebworks.com/kindle
so couldnt it be done, that calibre would fetch collection info, you'd change it and it would rewrite original collection file with newly generated one?