Sounds familiar because I think I had this issue before but maybe I still do as I haven't created any collection folders lately. This may help, Create one collection folder and when you are done minimize TS3 by using the Windows key. However, this may be a different process if you use MAC. Then go to:
Start Menu > Documents > Electronic Arts > The Sims 3 > Collections > Users
Change your view to Details if it isn't already. If the dates aren't in order, click on the Date modified to make all the files show the most recent first so that you can find what you just created. It helps to look at the time too in case you do this multiple times to create different collections. Copy the most recent file to the desktop and rename it to whatever you wanted that collection folder to be. For example: Wedding Arches.package (Always leave the .package alone.) Now you have a permanent collection folder, I think?, as long as you keep a
backup of it. Since your collection folder keeps disappearing then put the renamed one in the destination above.
Of course, you would also have to restart the game after you add it for it to take effect. It would have been nice to add and remove things while the game was still running and it would process that but it is not designed like that.
Good Luck!