with a colleague, we had luck with the following (Powershell and WMI inside), SCCM not providing at the moment the right commandlets :
for your device, get the ID:
$DeviceID=(Get-WmiObject -ComputerName -Namespace root\sms\ -class SMS_R_System -filter "Name=''").ResourceID
search to which collections it is linked :
Get-WmiObject -ComputerName -Namespace root\sms\ -class SMS_CollectionMember_a -filter "ResourceID='$DeviceID'"
filter the resulting list
I found that solution, digging in https://skydrive.live.com/?cid=030BC1EA09F784F6&id=30BC1EA09F784F6!213&sc=documents#cid=030BC1EA09F784F6&id=30BC1EA09F784F6!222&sc=documents, especially Query_PC_Collection_Membership.ps1 (kudos to Kaido).
Enjoy,
PN9