I have some, perhaps not new, thoughts on features that I would like to see in Microsoft Edge.
Collections - Collections are really helpful. But a really cool addition would be the ability for them to save session preferences such as authentication when used within a private window session. For example if I create a Collection for performing administrative tasks in Office 365 and Azure; and then I launch that collection in a private window session it would be great for the session to include the authentication settings from the last private window session that was launched using the collection.
Collections - When launching a private window from a collection have that window session be independent of any other private window sessions you might have open. This would allow you to have multiple independent private sessions open that would not be sharing authentication between them. This allows multiple security contexts to be managed at the same time within private windows in Edge.
Collections - When launching a collection in a private window display the collection name in the "Your browsing in Private" button on the Address Bar/Ribbon area.