I couldn't find anything in the forums on this topic, so hopefully this isn't covered somewhere that I missed.
I'm currently running Emby beta for Roku, 3.0.131. I only have movies on my server. No music. Some of these are in collections. When I put a movie into a playlist that is also in a collection, the ENTIRE collection appears on the playlist. If I look at the playlist on the web version of Emby, only the movies I selected show up in the playlist; no collections. So it seems to work in the web version, but not in Roku. Is there a setting I'm missing or is this something that may get fixed in the future?