I recently switched my Plex server to a NAS and had the same issue when adding the new libraries and the collections not being created.
Here is what I had to do to get the collections to appear. Good Luck and hope this helps.
Navigate to Settings > Manage > Libraries
For the Library you want to use click on Edit
Navigate to the Advanced section
Personal Recommendations:
Set Minimum automatic collection size to 2
Set Collections to Hide items which are in collections
Click Save Changes
Click on the Ellipsis to the right of the library you are working with
Click Refresh All Metadata
After doing this and waiting for the system to refresh the metadata, the collections were populated and surprisingly some collections I did not think would be created were.