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There are two things to check.
In the configuration for whichever driver you use, there is an option to delete empty collections. That needs to be set.
On the "Sending books to devices" page of the calibre preferences, I recommend setting "Metadata management" to automatic. This will do collection management each time you connect the device. With "Only on send", the collections are only changed when you send a new book. The manual option should mean it won't delete collections.
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