How can I create a collection of photos which Saturation setting is set to 0 ?
With the current version of Lightroom this is not possible, however you can create a smart collection of images based on their
Treatment which can be either
black and white:
If you can find a way to set your black and white photos to use this
Treatment flag to indicate they are monochrome (again, I can see no quick way to do this), then you should be able to create and maintain a smart collection of this kind.