In step 3, how do you add the collection to the device? Is this done on the device? If so, the connection to calibre is likely to remove it. With the options you have, calibre should be creating collections to match that is in the tags column for the books on the device. It won't remove a collection that is on the device if there is still a book in it. That usually happens because you have a book on the device that is in the collection and does not match to books in the calibre library.
For step 4:
- When you connect the device, is calibre seeing it?
- Does calibre run the device jobs?
- Does calibre show any errors when the jobs are running?
- Does calibre show the books that are on the device in the device list?
- Does calibre show matched books in your library with a green tick at the start of the line?
- Are you ejecting the device from either calibre or the OS?
- How soon after you eject the device do you power it off? You should let it process any changes before powering off.
If most of the above is yes, then it should be work. In which case, I need to see a debug log to have a look at what is happening. Restart calibre in debug mode, connect the device and let the jobs run. When they are finished, close calibre and the debug log will be displayed. Then post the full contents of the log for me to look at. Or, upload it somewhere and PM me the link to look at. I can usually work out what is happening from the debug log.