TTIPropertyGrid is just a base class that works with simple properties (i believe that the Lazarus Object inspector is much more complex than that).
In a project, for the collections, i had to write a menu representing the collections elements and when a menu item is selected, the TIObject value is set to the collection item matching the menu item.
By menu i don't necessarily mean TMenu, it can be a tree view too, or a TMemo with each line object set to a collection item...