In the 3D View, or Outliner, if you select any objects to be included / moved to a collection, and hit M, you will be presented with a choice of collections to move to, with the top item being 'New Collection'.
If you select 'New Collection', you will be dropped straight into an edit-box to name it.
I agree, it's odd that if you right-click in the Outliner and hit 'New', that doesn't put the new collection's name straight into Edit Mode. Sounds like a good Right-Click-Select suggestion, to me.