Collateral was not the first fully digitally shot feature film. In fact,
Collateral was not even fully digital. (The first
major, all-digital,
HD feature film was
Attack of the Clones, but there were other fully-digital feature films before that, just not as major, and/or not always HD. Robert Rodriguez'
Once Upon a Time in Mexico (2001) was fully digital.)
But you are right that Collateral did do something very new/unusual at the time, and that was shooting scenes in higher frame-rates than 24, and mixing multiple frame rates in a film. (This might not sound like much, but until this time, pretty much every film was 24fps for the previous eighty years and it had a very specific look that everyone's eyes/brains were conditioned for, unbeknownst to them.)
And the other thing that was very interesting thing about it (though not something very visible to a viewer) was that it was shot on the Thomson Viper FilmStream camera[1], which was the first major attempt at shooting not just digital, but very close to "raw". It was also a huge pain in the ass. The camera itself was massive, but due to the bandwidth, it recorded to an external storage array that had to be pushed alongside it at all times, and that was itself about the size of a shopping cart. (This device was hilariously referred to as the "Director's Friend.")
In 2002, my friend and I, both cinema nerds in high school, drove an hour away to the nearest theater showing a film called Russian Ark[2]. Why were journeying to to see a strange little Russian film where a never-named character walks the viewer through Russian history? Because just like each episode of the recently-released Netflix show Adolescence, this entire film was a single, very long, very complicated, unbroken shot. One shot. No trickery, no cuts that were just hidden to the audience, one shot, through streets, buildings, snow, ballrooms with a couple hundred choreographed actors, it was crazy. This is easy now compared to how it was back then.
As we've now established with Collateral (and this film predates it by 2 years), digital cinematography existed, but the storage was a real problem, the power was a real problem. Since this film was one shot, it needed almost 100 minutes of both, unbroken. And since it was a very complex moving shot, it had to be operated handheld. So essentially they had an incredibly ripped director of photography who operated the camera on a steadicam the whole time while a giant array of daisychained batteries and hard drives were lugged behind him. And they did it something like 100 times until they had a few takes where there were no mistakes.
None of this really means anything to anyone anymore, but at the time, to cinematography nerds at least, this stuff was all absolutely insane!
[1] https://web.archive.org/web/20040103133953/http://www.thomso...
[2]: https://en.wikipedia.org/wiki/Russian_Ark