Have you tried playing the DVD RW in another stand alone player, either your own or friends, that is capable of playing DVD +RW.
My DVD RW disks are also Sony +RW and I never had a problem playing back in both my Sony and Zenith DVD stand alone players. Both are DVD +RW capable.
Have you tried burning Collateral to regular DVD media and not RW.
If it burns to a regular DVD you can rule out a software problem, it's got to be media related.
Another suggestion is to take a different movie and try burning that, if that works it may be the Collateral movie itself that is causing the problem. Collateral is only 1 Hr and 40 min so it's really not a size issue.
AnyDVD did it's job so it's not that. You say you tried both CloneDVD and Shrink and both failed, so CloneDVD can be ruled out also. In all probability it is either media or firmware related. Have you updated your firmware to the latest version?