I assume your camera is an iPhone and that message is from your iPhone?
Is this with Mobile Lightroom or the desktop, real, version of Lightroom.
I don't use the mobile version but with the desktop, real, version of LR it is just a Database program and no images are ever Inside LR. So If I delete images that I have imported into LR then they show as missing in LR.
LR only references the images from where they are stored on your drives into the LR Catalog file, the LR Database file.
I have both the desktop and mobil versions. I have approximately 1900 photos in camera roll and want to sort them into collection. If I do this can I then delete the camera roll while keeping the collections I made.
You have to specify if you are copying those images from the iPhone Camera Roll to your desktop/notebook computer or not.
No images get Transferred into LR. It is a Database program that references the images into the LR Catalog file.
So no the simple answer is you Can't, you Can Not, Delete those images. Even if you copy them to your computers hard drive before you import them into LR they have to stay on the computer hard drive.
Please review some of these tutorials to see what LR is, How LR works and how to work with LR.
And Google "Getting started with Lightroom".
If I do this can I then delete the camera roll while keeping the collections I made.
Your Lightroom catalog will not replace your camera roll.
A Collection is made from Virtual copies - not duplicate files of your original photos.
If you delete a photo from the collection it will not be deleted from it's original Lr catalog folder.
If you delete a photo from the folder in the catalog it will not be deleted from your camera roll.
If you delete your camera roll, Lr will not be able to find the image and if you haven't made smart previews you will be in effect deleting your original images - if you are referring to images taken with your phones camera.
When you import your images from your camera roll, Lr is storing the information associated with those images; where the files are physically stored, the time you took them, the type of phone etc.