A further update ...
I had a talk with Bob Beachemin about this issue ( and a few others stuff as well ).
He had a look at it and his conclusions were:
In fact, using any collation at random with the collate clause works, as long as you HAVE the collate clause
WHEN $action collate Albanian_BIN = 'INSERT' THEN 'ADDED'
WHEN $action collate Albanian_BIN = 'DELETE' THEN 'REMOVED'
So you can, as far as I’m concerned, report it as a contained database problem (the fact that you MUST do the collation sounds like a bug) AND/OR a documentation problem (there is no classification of $action anywhere in BOL). The behavior likely has to do with the rules for comparison predicates when collate clause is not specified, and the fact the $action is probably special cased somewhere in the (SQL Server) code.
So I decided to report it on CONNECT
"Walking on water and developing software from a specification are easy if both are frozen." -- Edward V. Berard, "Life-Cycle Approaches"