Hello,
I am assuming that you have to collect messages of same type?
So what u can do is in "collect" step map the Message (coming fro PI) to the data object (which is again referring to the source data type) and once done then right click on the source-target node connection -> assignment -> Merge
BTW, i am in the process of publishing a blog regarding collecting/splitting of messages, so if u want then u can wait for the same.
Thanks
Amit Srivastava