Note, there are two places where you can find "Collections": "Filter" (just before the right-most) and "Sort" (right-most)
You need to select "Collections" under "Filter" (it's the one that also shows Read/Unread, Books, Periodicals, Docs).
On the upper left side of the screen, there's ALL | DOWNLOADED
If DOWNLOADED is selected, you should see "x more Collections in the Cloud" in the bottom left corner. You need to select ALL to show all the collections you have on the cloud and download each one to the device. Perhaps run a manual "Sync" if the collections still aren't showing up even when you select ALL.
Might also be helpful if you post a screenshot of your Kindle.
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