It's a made up phrase. The Wikipedia article about the movie says that 'an old woman at the hospital had told her to notice the "Collateral Beauty", which she has learned to recognize as acts of selfless kindness that follow tragedies,' though many of the critics (those who don't like the movie) seem to agree that the meaning was no clearer after they had watched it! I assume it is wordplay on "collateral damage", a phrase that means an injury inflicted on an unintended target (e.g. unintended civilian deaths caused by a missile aimed at a military objective) and that "collateral beauty" is designed to mean the opposite, i.e. the good things people do for strangers after tragedies in which other people have died. I haven't seen the movie but if I have guessed the meaning correctly, a good example might be people offering free shelter, food, etc to people who are stranded a long way from home when transport systems are temporarily shut down after a terrorist attack.