I suppose the problem is that the Kindle Collections plugin doesn't work with PW2.
That could be fixed by installing
Collections Manager and using Niluje's improved plugin for Calibre.
Jailbreaking PW2 is very easy, easier than it was before. It's just copying one file and selecting a menu item on Kindle. Kindle doesn't even reboot.
Collections Manager itself is just a 'book' with active content.
Just visit the
Collections Manager thread and follow instructions.