Are you absolutely certain about the initial selection on this? Check that you don't have any Filters enabled.
If not, try this instead:
1. make a new Collection without anything selected - give it a new name etc., be sure all the checkboxes in the New Collection dialog box are unchecked
2. go back to the folder view if necessary, make your selection of thumbnails
3. drag the selected photos onto the Collection name in the panel list. (You need to drag a thumbnail and not the cell area.) You will see a stacked image icon when you're hovered over the right place.
One other thing - if you've made Stacks within Folders, only the top (Most Selected) image in the Stack will go into the Collection.