I personally do not consider any digital only game part of my collection, but here is how I consider it compared to things like steam. with ps+ the only way you are physically able to play the game is to own a ps+ membership. whenever they remove the servers even if you have the game already downloaded you will be unable to play it because it will no longer be able to recognize you as a ps+ member. unlike in steam where so long as you hold on to the data and an operating system that's capable of playing it you will always be able too play a game bought from their, even if steam goes bankrupt or something like that.
so by that logic I would consider only things you will realistically be able to play/display forever part of the collection.
Edit: I have no idea what gwg is but im assuming that it is a subscription based gameing thing
I do wonder about that, I'd like to hope they either never take down the servers (Which they are already planning in Japan for the PSP store, but you can still download the PSP titles through your PC or PS3 and transfer them to your PSP), or they fix something so that you can still play the games. Such as "Oh, we are shutting down PSP servers, any PSP titles that show up in your Media Library as PS+ titles that expire on a certain date, no longer have an expiration date", basically making you own the title.
Or they could just screw you and say nope, sorry, you lose. But they do tote "You own these titles as long as you are an active subscriber.", that would be some major backpedaling.