Update to my previous post:
I just saw this other thread: Favorite TV show episodes virtual channel
And as explained there, favoriting an episode creates a Favorites section.
This provides the essence of what I'm looking for: A way to group together a manually selected subset of episodes of a show, within "Collections".
This works very well as long as what's desired is only one particular subset of episodes (which is my use case, at least currently).
For that use case, this favoriting method may actually be better than what I was tryng to achieve:
While it does not create a separate collection of episodes, it provides the subset right within the Show itself.
However, if I understand correctly, this method would not work if there was more than one desired subset of episodes. That's where a Smart Rule that allows the carving up of sets of episodes any which way based on custom labels would be very powerful.