Music libraries support collections too – in a limited way. That is you can create collections for artists and albums (not for individual songs), but there’s no “Collections” tab as you have it in a movie or tv-show library.
I’m currently using those cross-library collections extensively e.g. to group tv-shows that have their own movies (Star Wars, a number of Animes…) or to link “extras” to collections (see “The Matrix Revisited” in the screenshot above; same for “The Pixar Story” which I didn’t want to add as a movie in my regular movie library 
)
With regard to backfield’s comment… there’s actually a feature suggestion which pretty much contains the same information we just discussed
