The most common reason for this is a missed setting. And the most common setting to be missed is the "Metadata management" on the "Sending books to devices" page of the settings. This needs to be set to automatic.
The other thing that happens is that the driver does the collection management when the device is connected (hence the need for the above setting). It should also put books on the collections when they are sent, but there are a couple of reasons that this doesn't happen. If you send a book, disconnect the device and let it process the book into the library, then connect and let the driver do its thing, the collections should be sorted out.
If that doesn't work, run calibre in debug mode and post the log. To do this, start calibre, right click on the preference button and select "Restart in debug mode". Calibre will restart and display a message about the debug log. Connect the device, let the device jobs run and then close calibre. The debug log will be displayed. Post that. Or PM it to me if you would prefer.
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