You can now able to export Collections in Microsoft Edge to Microsoft OneNote in the latest Canary update.
At virtual Build 2020, Microsoft announced a slew of new features for the new Microsoft Edge browser such as Sidebar Search and Pinterest Integration and Send to OneNote support for Collections.

Note: The collections feature is now also available in Microsoft Edge on Android.
Recently, Microsoft Edge received Pinterest Integration and Search in Sidebar features in Dev and Canary channels.
The addition of the former allows you to send Collections to your Pinterest account via the “Send to Pinterest” option available in each collection.
With the latter, you can search for any word or phrase by selecting the option in the context menu. The search results from Bing appear in the right sidebar.
In addition to exporting Collections to Microsoft Word, Microsoft Excel, and Pinterest, the Canary version of Microsoft Edge now allows you to send collections to OneNote as well.
You can spot the option in Edge Canary when you click on the “Sharing and more” (…) button in a collection.
To get started,
Send Collections to Microsoft OneNote in Microsoft Edge
1.Launch Microsoft Edge browser
2. Click on Collections icon on the toolbar
3. Click on a Collection name
4. Click on the three-dot icon and select “Send to OneNote”
5. Choose a location for the Collection and select a notebook and click on “Save”

You’ll be redirected and logged in to OneNote Online and the collection will be available for access.
You can also open the collection in the OneNote for Windows 10 by selecting the “Open in App” option on the ribbon.
Related articles:
Microsoft Edge Canary Adds support for Pinterest to Collections
How to Uninstall and Reinstall built-in OneNote App in Windows 10
OneNote Web Clipper for Chromium Edge is now available on Microsoft Edge Extensions Store
Microsoft adds Dictation to OneNote Online
Microsoft offers a Free tool to import Notes from Evernote into OneNote