To use his challenge so early in the game is a huge gamble. I've re watched the hit on Collaros a few times and the timing of his slide and the hit are so close together that it would have been a difficult one to overturn. I think the trapped ball play that many here wanted challenged was also a good catch and if you watch the replays there's nothing there that would likely overturn the call on the field.
O'shea isn't great with challenges but he has a plan on how he likes to use them and he sticks with it.