Try deleting a few eBooks you've not start reading from your Kobo. Then in calibre send them to your Kobo. After they are sent, eject your Kobo. Once they are imported, unplug the USB cable from the computer. Now connect the USB cable to the computer. Once calibre is done sorting things out, eject the Kobo and see if the collections are there.
If not, then something isn't set correctly in calibre.
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