Why can't you collimate incoherent light as well as a laser?

You could put an LED in a cavity with a thin long hole but then, most rays, which are not aligned with the hole, will just bounce inside forever producing heat.

So you would have a very hot device, and very little efficiency on the light output. This heat might also behave like a black-body radiation source, so you would not have a single frequency.

The beauty of lasers is the laser cavity (two parallel mirrors around the medium) selects parallel motion preferentially, see e.g.: youtu.be/_JOchLyNO_w?t=832 from Video 20. "How Lasers Work by Scientized (2017)"