What are you wearing? You might be wearing clothes that block your neck slot, preventing collar from being worn!
When I go talk with her I don't equip the Sub collar. When I talked with her the collar was auto equiped and auto unequiped when the session was over. Now when I talk with her, she asks to equip it and the character does so. And then she asks again, with my character with the collar. When I get out the collar stays on and goes away when I do another action, like sleeping or showering.