Where is the collection that collects all the dlc into one game?

If you check (here) and click "purchase entire series" it will add to cart each product and DLC. The DLCs should work together.

i meant just age of wonders 3 dlc. Will there be more DLC releases?
Is it true that the game can't be saved if you don't make an account with the publisher of the game and login?

I believe Deluxe edition is the product you are looking for. When I purchased it, it was possible to play without registration (play as guest) but the online play feature is disabled without registry. In theory, it is possible to PBEM (play by email) by emailing save files back and forth, but no one has confirmed it yet. I hope that helps.