Why is collected movement better than what a horse does naturally? Surely they would move collected on their own if it's better/more efficient/more comfortable?
I know they collect in nature but not for any length of time. We try to get them moving like that much longer than they would choose to.
By nature, horses move in collection and not in collection. They walk, trot, canter, gallop. They move diagonally. They roll. They occasionally back up. They usually do what they choose to do. They sometimes do what they feel it necessary to do.
Some horses, naturally move more efficiently than others. The horse's conformation affects they way they move. Health, habit, energy level, and other things also influence how a horse moves.
Different horses react to carrying riders in different ways. This may have to do with the size, balance, and movement of the rider. It is often influenced by established habits, terrain, etc.
Many riders pay little attention to how their horse carries itself with the rider. Others are overly concerned about this. Some riders work to develop the strength and flexibility of their horses. Some riders simply ride a horse as they were taught to ride. Some riders try to ride in a way which helps make their horse's job of carrying them easier, varying what they ask with the terrain and other circumstances. Other riders don't think much about such things.
There is no single way a horse moves or a rider rides. The most we can do is study these things, think about them, experiment, and hopefully try to improve.