I checked my other Kindles (5 altogether) and while they show all 5 of my collections, they don’t agree about what is in 2 of them. Note that Kindles (and Fire) let you put audiobooks in Collections as well, but that’s not what is going on in this case.
I’ve never used web to create collections, but I have used it some to change what is in them. Maybe its the the web changes that have trouble getting picked up by Kindles. I seem to remember this stuff worked fine before web editing was possible but it’s not possible to confirm any of this.
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