The Create Collection option is missing in the Commerce Products UI in AEM.
Steps to reproduce the issue:
But for products:
AEM > Commerce > Products > Select few products > Add to collection > Only option is to add to the existing collection but there is no option to create a new collection like the Assets screen has.
Commerce > Products screen does not have the option to create the collection.
It has been identified as an improvement CQ-4234094. It will be evaluated for the inclusion for the future AEM releases.