Ask your Vet if the demodex manage might be secondary to dermatomyositis, which is a genetic defect in collies. Will probably involve a referral to a doggy dermatologist, which probably isn't a bad idea anyway.

It's not that the mites get into the immune system, but rather the immune system is defective in its ability to keep the mites in check. I went through a bout of demodex with Barney when he was about 1.5 months old. First came kennel cough within days of getting him from the shelter, followed by the mites a few weeks later - trying to take advantage of a stressed out immature immune system. He was treated with oral ivermectin for about 2 .5 months. Initially he was also given antibiotics to clear up any skin infections associated with the skin damage. Once a week or every two weeks he got an oatmeal shampoo bath to get rid of any dead skin cells. In additon I supplemented his diet with Vitamin-E (dry succinate salt form), and fish oil. Both help in the repair of the skin. His episode is the common type in puppies- one and done.

If a puppy continues to get repeated demodex manage attacks it probably does signal a weak immune system. And you are correct it would be a life long battle. There are rare cases where the demodex becomes life threatening due to the skin damage, when a puppy's immune system is severely impaired.

As a footnote if an older especially geriatric dog who previously had few or no problems with demodex mange suddenly comes down with a case, one should have the dog checked for serious underlying disease such as cancer.