The difference is that a TreeSet keeps you data sorted at all times while the Collections.sort() method sorts it when you call the method on your Set.
The time complexity of Collections.sort() is O(n*log(n)) while the TreeSet's add()'s complexity is log(n). If you use the same size of data then the complexity in the TreeSet's case will be the same because you repeat the add operation n times.
So you only have to decide whether you want your Set ordered at all times or just at some point. If there is a case in your code when you don't need sorting then you don't need TreeSet but if you will always need it to be sorted then you should use TreeSet.
Please keep in mind that if you want to sort your Set you have to create a List from it first which might introduce some overhead!
Another caveat: As others mentioned TreeSet can only take 1 Comparator while you can supply different Comparators to Collections.sort(). So it depends on your usage. You should give us more information on your use case in order to give you a thorough answer.