Responding to your title, I would say that it's only natural for a horse to collect itself. In fact, as you know, it is that position where the horse brings its' balance point back and moves more energy into an upward , lofty spring which we see sometimes when horses go toward each other, to meet for the first time, perhaps, and they are interested and maybe a bit challenging to the newcomer. YOu will see them lift and extend the neck in what Deb Bennet (the conformation guru) calls "the neck telescoping gesture" That neck position is something we want, for the lower levels of dressage and as the horse progresses, one would ask for a more closed arch and even more upward transfer of energy.
I think your horse is collecting and carrying herself AND you. COOL!