So... I have a auto collect bag set for everything and it will collect everything until it is full. This will also collect shards, but:
I have another auto collect bag set for shards only and it will NOT collect any of them.
I use the following settings:
But nothing comes in, only if I add consumables and loot boxes it works with shards too.
I would also like to see their priority increased, so you don't pick up all that white loot before anything useful...