Sync'ing collections

I have collections set up on my Paperwhite and wish to have them also appear in my Kindle PC app.

When I click on the Import Collections button in the app it opens a window asking me to select the device from which to import. But there is no device listed.

I have tried this with the PW Wi-Fi on, and with the PW connected to the computer via USB cable. But the PW doesn't show up in the device window. What am I missing here?