Hey congrats on the upgrade!
There is the Category & Sort option in preferences in Rekordbox- be sure to add the "Key". On the player while browsing your collection hit the menu button (top right) and you should see the sort options) Also when you have rekordbox connected or the SD/HDD drive connected you can also browse your entire collection via key (and other choices like bpm, date added..etc)
I don't use the rating system at all, but might be in the category & sort option
Make sure your USB/HDD is formatted into ExFat32 or Fat32 (if possible) avoid NTFS as it's not compatible with rekordbox.