Forum Discussion
Original Edge Features
I know Collections isn't currently like Set Aside Tabs, but they're adding the functionality--it's not in the Stable or Beta builds yet, so you probably don't have access to it yet.
Here you can see that it's enabled in the Dev and Canary builds, and here is a discussion about the feature if you want to talk about your opinions with the Edge team.
I'd suggest using the feedback button in Edge to tell them that you want better integration with Windows Defender on Windows, though I'm not sure if they will integrate it since they want to simplify the cross-platform experience.
Yeah, good point about it needing to be more simple for cross platform experiences. I guess that it doesn't really matter as long as the Smart Screen in the new Edge is as effective and will receive all the security intelligence updates on what files are dangerous (to keep up with modern malware).