This applies only to version 10.0+: Forms 10 introduced the ability to have lookup rules insert new rows/sets which is why the above suggestion would not work in previous versions.

If you notice the way variables are stored in for example 9.1, there is no grouping of the variables of elements inside a collection the way that there is in Forms 10. (You'd be setting up a rule for MyVariable instead of for MyCollection.MyVariable.) Out of the box I don't know if there is actually a way to get what you're looking for in that version. Someone else can correct me here if I missed something.

There might be a way to get what you're looking for using JavaScript, to set the value of new fields as they are dynamically added. You would need to look at MutationObserver to get this to work, and note that this would only work for more "modern" browsers.