I'm not fine with solutions that iterates over a collection and inside the loop manipulating the content of even that collection. This can result in unexpected behaviour.
See also here: https://stackoverflow.com/a/2304578/655224 and in a comment the given link http://php.net/manual/en/control-structures.foreach.php#88578
So, when using foreach if seems to be OK but IMHO the much more readable and simple solution is to filter your collection to a new one.
/**
* Filter all `selected` items
*
* @link https://laravel.com/docs/7.x/collections#method-filter
*/
$selected = $collection->filter(function($value, $key) {
return $value->selected;
})->toArray();