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The collections are there and you can add and remove items from them, even if you don’t ‘download’ them. ‘Downloading collections’ (I don’t think it is the right term but that is how Amazon puts it) just makes them visible in Library view, even when it is set to show only DOWNLOADED items.
If you have Home Screen View enabled (I turn it off in Settings whenever I get a new Kindle), you need to tap YOUR LIBRARY to get to your book listing.
Tap ALL in the header bar so your entire library is visible. Tap FILTER to show filter options. This brings up a long list of options. You need to scroll down to the very bottom to find the one for Collections.
If you choose that, it will show a list of your Collections. On the right of each item is a stack of ‘3 dots’: tap on that and it will bring up a menu. One of the menu options is Add to Downloaded. If you choose that (for one or more of your Collections) then those will always be visible in Library view, mixed in with items in your library.
Personally I don’t like seeing them mixed in with books on Library view, so I don’t ‘download’ any collections. But I can still see and modify which collections a book is in by tapping the 3 dot button and choosing Add to Collections. And I can still browse a collection by choosing ALL and then filtering by Collections (which I do rarely).
I wish this were all more consistent with the way the Kindle mobile apps show collections (Collections is in the Sort options, not Filter options, which seems more logical IMO) but for some reason Amazon has kept the ‘legacy’ (pre-cloud collection) UI available for those who had older Kindles.
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