Something that's uncollected hasn't been assembled or gathered together, like the uncollected poems of your favorite poet, which have only been published in small magazines — never all in one book.
There are many books with the word uncollected in the title, like Uncollected Stories by Arthur Conan Doyle or The Uncollected Critical Writings of Edith Wharton. These pieces aren't actually uncollected anymore, since they're being collected and published as books now, but they were previously uncollected. Another way things can be uncollected is when they're not picked up or claimed, like the uncollected garbage bag that's still on your curb or uncollected reward money.