The easiest way to explain a collection is to compare it to a folder on your desktop. When you mint art on Rarible by default the art is put into either the ERC721 or ERC1155 Rarible folder. This folder is a public folder in which anyone is allowed to mint NFTs. When you create your own collection, you are essentially creating your very own folder in which no one except you can create NFTs.
What are the benefits?
Having your own collection makes it easier for you to promote your work as you can just share your collection instead of individual pieces. It also allows you to keep a consistent style of art per collection. Having your very own collection will also help with exposure on platforms like Opensea.
What are the downsides?
The biggest downside is that creating your own collection requires deploying a smart contract (Don't worry you don't have to code anything, we'll handle that for you!), while that does not sound like a huge deal, deploy smart contracts are more expensive than deploying in Raribles default collection.
What are the limitations?
The biggest limitation is that you need to have a separate collection for Singles and Multiples (ERC721s & ERC1155s), there is no way to store ERC721s (Singles) in an ERC1155s (Multiple) collection and vice versa.