I think training collection starts from the ground. Lately I attended a clinic by Marijke de Jong, a Dutch Bent Branderup teacher, and she had a really interesting view on how to collect the horse, and in what order.
According to her, it starts with letting the inner hindleg step under the bodymass when walking a volte on the ground, and as an extention of that the shoulder-in. These two exercises let the inside hindleg bend more and place itself further under the body mass. When the horse can do this exercise without falling over the shoulder, she continues with travers. Of course that's a quite traditional order, but I thought her reasons behind this order were very interesting: In shoulder-in to the right, the horse bends his body to the left and places his right hindleg towards the left under the bodymass, but the left hindleg to the left away from the body mass. So you let only one hindleg collect and place itself under the body mass.
With travers to the right, the horse bends his body to the right and places both his hindlegs towards the right, under the bend of the body. The horse now has to bend and collect both his hindlegs. That suddenly explained to me why horses move relatively freely in the shoulder-in, but always go slower and more concentrated in the travers: he's collecting.
When the horse does the travers good, he shows you that he is now capable of collect both hindlegs at the same time, and bend them and place them underneath the body. And then you can start training piaffe.
Maybe other people knew the reasons behind this system for a long time already, but to me it was a real eye-opener; I always thought that the travers was just another sideways movement and didn't see any fundamental difference with shoulder-in (except for the bending to the other side obviously
).
So from the saddle the first feeling of collection could be the one inner hindleg during shoulder-in, because that one stops pushing and starts carrying. From the saddle it indeed feels very soft. Of course there can always be suprise collections when the horse suddenly performs a collected canter leap during the transition from walk or trot to canter, but I think that shoulder-in could be the first step to collection initiated by the rider.
For me collection starts with one hindleg. If that's going well and the horse starts to understand that he can use this to make other manouvres easier (for example the Spanish walk, or canter), he will start to use this to his benefit in other exercises too and will start to collect 'according to the book'; with the back and neck curving upwards and the poll relaxing. So the first collection for me is that hindleg and the way it moves, not how the back/neck of the horse look. You can teach the horse the ramener (flexing at the poll) in halt before he collects in movement, but he will only be able to do this in movement correct if he starts to carry himself from the hindlegs upwards.