Hi,
To create the package, you will need to select and export the sprite collection (and associated data files) explicitly. There is no way around this (apart from explicitly selecting the files as mentioned before), and I'll explain the reason.
The sprite object has a link to the sprite collection data object.
The sprite collection data object contains the geometry and other parameters, and links to the materials & atlas textures. There is an implicit link (using GUID) to the sprite collection editor object, which means that while the editor will be able to match this up again and find the source object, it will not show up in the dependencies.
The sprite collection editor object contains links to the actual source textures, and other bits of information which aren't relevant to the runtime. This is used in the editor, so if its actually missing, you will not be able to view the inspectors, etc. This can't be in the dependencies, as it will be included in builds (together with the source textures, etc which aren't necessary during the build)
So back to your original problem, you will need to explicitly select the sprite collection object (DemoSpriteCollection) in addition to the prefab as the dependencies system wont automatically pick it up.
Hope that helps,
unikron