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Series and collections are two different things. The collection is an arbitrary set of books that you put together. For example: science fiction, fantasy, history, poetry and so on. You can create as many as you want, with the criteria you want and you can also manage them directly on the Kobo, without using calibre. And a book can belong to more than one collection. But with the collections you won't have the sort in series, there is no way.

As for the series instead the thing is different: they are indeed sets of books that are part of the same story and should be read in the right order. If you buy the books from Kobo they should already be inserted in the appropriate series, if you insert them yourself you can insert the series (and the correct number inside the series) with calibre that manages the Kobo metadata really well but you have excluded the use of a computer. In short, as far as I know there is no way to do it directly on the Kobo, or the series is already present because you bought the book from Kobo or you have to use a computer (there is also Seriesmeta that works for Epub and Kepub but, again, without a computer...). Calibre can put the series in the database of Kobo for each kind of file it can read: Epub, Kepub, pdf.

Sorting by series on Kobo, if you entered the information correctly, will give you the books in alphabetical order: by title of the book those who do not make part of a series and by title of the series (with the correct order) those which belong to a series.