Alright, I can now see what collection the selected object is part of.
Here’s what happened: in the theme I’m using when the object is selected the color that indicates the selection near the collection is subtle. But what threw me off is that I was expecting the collection to become highlighted not the icon next to it, so basically I never looked at the icons but just the collection.
That said, thanks @zeauro for the tip: I didn’t know about the ‘.’ shortcut and it’s very handy. I’ll use that a lot 