Paid albums are automatically added to my collection, but free ones are not, even if I requested the download link via email. Is there any way to add a free album to my collection?
From the Bandcamp help page:
How do I add music to my collection?
Your collection consists of the music you’ve paid for on Bandcamp, plus the items you wishlist. So to add music, buy it, or click the wishlist button on any artist’s site (it’s the heart icon below the cover art).
Pay-what-you-want albums will also have the wishlist button underneath the cover art, so if you want those to display in your collection without having to buy them, adding to your wishlist will suffice.
However, for albums that are strictly free to download with no option to even pay what you want, there is no option to add them to your wishlist, so as far as I'm aware it is not possible to add those to your collection.