To be specific -- the collections management UI is disabled on unregistered devices. Existing collections still show up no matter what.
Take a look at our hacks for managing collections -- LibrarianSync (KUAL extension) and Collections Manager kindlet. Either one will bypass the Kindle framework and modify the database directly.
Thus they work on unregistered devices.
Additionally, you can use the calibre plugin "Kindle Collections" with either hack, to manage collections automatically based on calibre metadata.
I do agree with HarryT though -- registering would be the simplest solution. If you, ah, "value your privacy", I think that is unwarranted paranoia

but you can always use the BBB (Block Big Brother) Firewall hack available as a KUAL extension. It comes with rules for blocking all Amazon connections.