http://niftools.sourceforge.net/forum/viewtopic.php?f=38&t=3308&p=22619#p22619
Here's a thread which discusses custom collision. I found that certain types can be made, but you have to jump through hoops. I've also heard there is a new app which can make concave collision (the kind that cannot be made with 3DSMax for Skyrim)... NifUtilits I think it is. There's a thread for it on the NifTools site, but I think it's buggy so you may not be willing to try it.
I've taken to finding similar Vanilla meshes and splicing over their collision, then moving in into the correct placement. It's kind of dramatic, but it works - and you only have to do it once per NIF. Another workaround is to use collision boxes (in the CK, then script them to be at the object if it moves)... but this requires MANY boxes for certain applications; such as a building with windows and doors, or a boat.