If I remember right the Kindle Keyboard was made before they had cloud collections. Unless there was some update that changed that (I sold my KK years ago) it's collections are just local. So you'll have to create the collections on your new Kindle and put the books you want into it.
And now's the time for my favorite sermon: don't put so many books on your Kindle and you'll find it a far more graceful device with far fewer complications.
That was fun.
In any case the Paperwhite is so much nicer for reading than the Kindle Keyboard that it's worth whatever trouble you have setting it up.
Barry