As an ex-Calibre, new EBL 3.0 Mac version user, I think I know the answer
Calibre will create collection based on the tags you assign to books. HarryT has given you the perfect metaphor as to why the collection / folder remains on the Sony. To delete a collection, use EBL, then continue as you are in Calibre for your other book library management activity.
Never, ever, ever try and use Calibre and EBL at the same time. Switching from one to the other and back should give you no problems though - just make sure you only have one open at a time.
Calibre is brilliant - very feature rich. If you are not using all those features though (I wasn't), the new Sony EBL software is worth another look. It is much better than the previous attempts.
Good luck
amjb