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Well, some people find calibre's plugboards feature to be an effective replacement for collections.
You can insert the series into the title, and then sort on that.
Regarding the Kindle -- even the new devices can have collections managed via calibre. The trick is that the device must be jailbroken (which can be challenging on the Paperwhites/Voyage/Oasis).
See the Kindle Collections plugin for more details.
Alternatively, you might wish to get one of the Kobo models. They have native support in calibre for managing collections (the collections database is easily accessible in the userstore).
Although the Kobo has a reputation for having slightly less reliable firmware than the Kindle.
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