I can't map a Shopify collection to a Facebook product set
That's not possible unfortunately since Facebook doesn't have a collection - they only have product sets. You can't map a Shopify collection to a Facebook product set one to one.
A product set can be build by applying filter rules in a product catalogue - each catalogue can have many product sets.
See here for more details: https://developers.facebook.com/docs/marketing-api/reference/product-set#filterrules
In those filter rules you can create product sets by e.g. availability, product type or vendor. You can also use custom labels.