A workshop collection on your server facilitates your gmod server addons management but in order for the workshop items to be supported by the "fast downloads" system you must add a configuration file that will tell the server that it should send these files to the players when they connect if they do not have them.
1) Create the file
Use the game panel file manager or FTP to to create a .lua file in the following folder:
garrysmod\lua\Autorun\server\
The file can have any name, for example you can name it fastdownloads.lua which will give you:
garrysmod\lua\Autorun\server\fastdownloads.lua
2) Edit the file
Add 1 line per Workshop item you want to add to the fast downloads.
example:
resource.AddWorkshop ( "123456")
resource.AddWorkshop ( "456789")
resource.AddWorkshop ( "789123")
Replace the numbers by the ID's of your workshop items (and not collection ID's) of course.
Save the changes and restart the server.