Darn, it's not working for me either.
Strangely, it did pick up some of my very old collections, that I'd deleted from my KindleKeyboard ages ago. But it didn't pick up any of my current collections, and I don't have an "import collections" button.
It does have all my books, but of course they're all just jumbled together. All 2135 of them
This is going to suck, especially without multi-select (another thing I would have thought they'd have provided by now).
It seems so shortsighted of amazon not to provide a migration path... then again, I guess they don't need to because they sold me a device anyway!
I would have thought that with Cloud Collections they'd let you manage it all online, but I guess that's not going happen either.