This is a pun on the word "collect". To collect oneself means to calm down after an emotional event. The word Collect can refer to when you gather up something, like when the IRS gathers up people's tax money. It's kind of ironic for the IRS agent, whose job it is to collect tax money, to evade taxes himself.
When the shocked IRS agent was found guilty of tax evasion he had to take time to collect himself .