Call Merial (the company that produces frontline). If you are purchasing your frontline at the vet and you have receipts (your vet can probably print new ones if you've already tossed the ones from the time of purchase) and all of your pets have been on frontline (or a comparable flea preventative in the case of small mammals for which frontline is not safe) the company absolutely guarantees that their product will work and they will send someone out to check out the situation to see if they can find where something is being missed. If they find that the product is being applied correctly and you're still fighting with fleas, they will pay to have terminex come to your house and treat the house and yard.
I would second calling around to some rough collie breeders and asking them what they recommend for flea control. Honestly, in 11 years of working for a vet I have not heard of collies being any more sensitive to flea products than other breeds. Ivermectin, when used at doses much higher than what is recommended for heartworm or intestinal parasite control, yes. But not any of the flea control products currently on the market. I would think Revolution would be safe since it is safe for use in rabbits, guinea pigs, and ferrets where Frontline is not safe to use, but it usually isn't quite as good at flea control. I would also think that Advantage would be a safe alternative if you wanted to go with a topical product similar to Frontline. Comfortis or Trifexis has been getting a lot of good reviews too, even from people who have had issues with the Frontline not working well for them. It is a new product for the vet I work for, so I can't say I have a lot of experience or a great knowledge of the product, but I haven't heard of it being an issue for collies either. And capstar works quickly to kill any fleas on the animal, but it is out of the system within 24 hours so you would have to dose daily while treating the environment in order for it to be effective.
I would avoid a flea dip or shampoo personally. The person at your vet is right in that they have very limited effectiveness and do not provide lasting control. Any soap or shampoo will kill the fleas that are on your dog at the time of a bath and will make him feel a little more comfortable the day of the bath. But if you are dealing with an infestation in the environment (which it certainly sounds like) your dog is going to just pick up more fleas once they step out of the tub. I would think that any flea dip/shampoo that has lasting residual effects would have a significant pesticide residue which would mean an increased risk for reactions. Several OTC flea shampoos (Hartz) have been known to cause seizures and even death in dogs even when used according to label instructions, and that includes many breeds that have no known genetic predisposition to sensitivities the way collies do. Also, most of the flea dip/shampoo products that are available have been around long enough that there is a significant resistance to them. Not to mention the potential for reactions to the chemicals in your topical flea preventative.
For a good flea bomb/environmental treatment you might try calling around to local exterminators and see what they recommend. If the fleas are as bad as it sounds, you may even want to consider hiring a professional exterminator to come in and treat your house and yard rather than trying to do it yourself.
One final note, it sounds like your poor dog could have a flea bite allergy. If that is the case, then it doesn't take a full blown infestation to turn an allergic dog into a hot mess. All it takes is a single bite to set off an allergic reaction that can balloon into really bad skin problems. Treating the fleas is crucial, since that's the trigger for the allergen. But you can also make him more comfortable by treating allergy symptoms. Benadryl, at 1mg per pound of body weight, is safe and may help calm the itching. I would expect a rough collie to take 2-3 tabs THREE times daily (unless they are very sedated by it or they are a very awkward size, in which case you would use it twice a day and possibly at a higher dose). Yes, it seems like a lot, especially when you compare it to how much a human would take, but it is safe and under dosing a dog with antihistamines is about as useful as not giving them any antihistamines at all. Bathing with an anti-itch shampoo and using an anithistamine or cortisone leave on conditioner is also often helpful in providing relief.