As I know, Empties are like folders for meshes. You need them to let the game know where to search for the objects, but if you just want to export one object without any custom collision mesh or LOD you don't need them. If someone else falls onto this thread, the way to create them is to, in object mode, go to the Create Tab on the left ("T" to bring it up), and scroll down until you find "Empty" (in the Other categories). You can see how to setup the parenting here, or you could just extract and import an official .dae from the game to see how everything is. I'm having an hard time understanding the "does the alphabetical outliner listing affect parenting ?" part, but the objects will be sorted by alphabetical order in the empties and will stay in the empties, nothing to worry about here. You're not seeing the object ingame because you don't have any material associated with the object. Here is how to make one :
