OK - I just tested hooking up the 505 and opening the Sony software, which shower the 505 with my 17 collections. I then added one book to the 505 via the Sony software, ejected reader.
Plugged 505 back in and opened Calibre 0.7.4. And behold - collections are gone!
So the culprit seems to be using the sony software in this case.
I ran Calibre in debug mode, do you want me to send you the file?
It's still odd though that Calibre doesn't create Collections for a book that has a tag and no collection on the device (with the plugin set to 'Tags')