You are getting confused about a number of concepts.
First wave-function collapse is only part of some interpretations - its not part of the QM formalism.
In combining QM and GR we use Quantum Field Theory, which is a continuous field theory, exactly like GR. You can make GR into a QFT exactly like one does for any classical field theory - there is no issue at all. The issue comes when you try to extract answers from the theory - it blows up with infinity. There is a technique for handling that called renormalisation. The problem is it doesn't work here.
It took many years of hard work to sort out what was going on. I recently wrote an insights paper explaining, at a basic level, what renormalisation is:
https://www.physicsforums.com/threads/renormalisation-made-easy-comments.813025/
Along with this better understanding came a new view of renormalisation, called the Effective Field Theory approach. It turns out by applying that to the quantum theory of gravity you can get finite answers - but the resulting theory is only valid up to the Plank scale:
http://arxiv.org/pdf/1209.3511v1.pdf
Thanks
Bill