How should I fit cementboard underlayment around a supply pipe collar?
You have several acceptable options:


Remove the collar and rely on mortar to retain the pipe. 
Remove the collar and apply silicone to the hole to retain the pipe.
Chisel out a space in the subfloor for the collar and lower it so that it's flush.
Cut your cementboard around it and mortar over it (or just tile over the void).