Hello, Michelle! Thanks for posting here. At the moment, Microsoft Edge lets you reorder Collections manually by dragging them and you can sort items inside a Collection by name, but there is no built-in option to alphabetize the Collections themselves. If this feature is important to you, the best step is to use the Feedback option in Edge to request it, since Microsoft reviews user feedback when planning updates. Hope it helps!
Regards,
Arlene D.