Collection storage doesn't work if you have more than one split?

We were using the 'Folder' storage and happily exporting to separate folders as described in the documentation.

|—sync
|—sync-dev
|—sync-prod

We wanted to use drush cex --destination=[FOLDER] to automate capturing config changes but this only works with Collection storage. So, we changed our splits to use collection but now all the config is written to subfolders of the sync directory.

|—sync
|  |—split
|  |  |—sync-dev
|  |  |—sync-prod

Now when we run drush cex all of the splits except the current active split are deleted, the only command in config split is to export individual splits but that doesn't export the base config? How are config splits with collection storage meant to work?

Does 'Collection' storage for splits not work if you have more than one split?

How can you override the location where the 'split' folder is located so we can do:

|—sync
|  |—default
|  |—split
|  |  |—sync-dev
|  |  |—sync-prod

OR how do you configure the splits so that they don't all get deleted when you are exporting other splits?