How do I make a collection a Hero or Featured Collection?

Go to "Your Library" where you manage all your collections and hover the mouse over the collection, then click on the three dots that appear in the top left corner. Then click on "Edit collection" and toggle the "Show as Hero/Featured Banner" option in the bottom to promote the collection.
 
You can also set a collection to a hero or featured right inside the collection. Then you click on the "i" (info) button in the top right corner, and then you can promote the collection from there by toggling the "Show as Hero/Featured Banner" option in the bottom. 

Here you can also upload your own covers/thumbnails to the collections to fit more into your brand. Learn more about how to create and upload your own thumbnails here.

And here you can read more about what "featured" and "hero" collections are.