Hi HardyWong, I am Paulo and I'd like to help.
This is an ongoing issue, and it seems to occur when using your personal Microsoft account on your Edge profile. When you sign out your personal account or use a new Edge profile, the option "Add all open tabs to collection" will appear. Also, the option will temporarily appear once you sign out and sign back in. I've been having this problem for months now, but we'll have to wait for fix from the developers, unfortunately.
Here's the thread on this:
https://answers.microsoft.com/en-us/microsofted...
For now, you may use an extension like this as an alternative to Collections.