A raw market order says "any price". Collars quietly convert that into "any reasonable price", typically a percentage away from the reference quote, wider for volatile and low-priced instruments.
The trade-off is explicit. A collar protects you from a catastrophic print during a fast-market, and it also means that in exactly that moment your protective exit may not execute at all.
Example: a 5% collar on a market buy with the offer at 100.00 will not fill above 105.00. A sudden gap to 112 leaves the order unfilled or resting at the collar. You avoided paying 112, but if this was a stop covering a short position you are still short into the move.
Related: market-order, stop-order-slippage, fast-market, limit-up-limit-down