You can store your DRMed Kindle books in Calibre, but what would be the point? You can't read them on any other device, even another Kindle. You cannot edit them or embed metadata in the file. Personally I fail to see why you'd want to keep DRMed files anywhere, even in Calibre.
Yes, if you use the "download and transfer via USB" option and select your current Kindle, then you can sideload them, but only to the Kindle you originally downloaded them for, because Amazon DRM is keyed to a specific device. If you buy another Kindle in the future, you'll have to download them from Amazon all over again, you cannot sideload the files stored with DRM to your next device.
As to collections, to my knowledge a Kindle treats every sideloaded file as a new book and its original collection is no longer remembered, but I might be wrong, as I don't use collections myself.
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