I know how frustrating it is when things happen you don't understand
First, some more exact information might help members here understand exactly what is happening.
1. Are you using the Sony connect library? US / UK
2. What system is it on? Mac? XP / Vista (32 / 64)?
(I see those questions asked a lot)
3. How are you adding books to your library?
From the Sony store it goes directly to purchased books and into the library.
From MobileRead you put them where you chose.
4. What collections are you talking about? Ones you create on your hard drive and have imported to the library?
Someone may chime in with more experience than me but, this is how I load my reader....
Using Sony Connect library and a Vista laptop..
First I create collection folders under the Reader on the left hand side. (Mystery, Classics, Next, etc)
Then I click back to the books under library. (I first import books that I want to put into my Reader) Once I have the book I want in the Sony library, I grab it and drag & drop the book I want over to the left side and drop it into the Reader itself - Not the collection folders yet. I do one at a time and wait until the little circle fully stops turning just to be safe. PDF takes a while to load.
Next, I click on the Reader to see if the books are there
then, I grab each book and drag & drop it to the collection folder that I want it in. Since I don't use calibre, I try to put them in the correct order to be read.
I disconnect the Reader by clicking on the little "thingy" to the right of "Reader". It will take a little bit to load/adjust or whatever it does before the menu comes up. (I found that the more pdfs / or numbers of books that are loaded, the longer it takes to finish that load / adjust and for the menu to come up.
I don't know if this helps or if this is what you mean.
I'm a nontechie and found what works for me.
Let us know more of what is going on so the more expert members can jump in and help