The story of Collingwood and the Plum Cake is told here:
http://www.archive.org/stream/footprintsoffamo00edga
The book is a true mid-Victorian 'uplift-and-example' hagiography, 'Footprints of Famous Men: designed as incitements to intellectual industry' by J.G. Edgar.
The story was first told by Collingwood's son-in-law and first biographer, G.L. Newnham-Collingwood, and is repeated in Max Adam's biography of 2005.
I haven't read Denis Orde's biography but I am told by a fellow enthusiast that he dismisses the plum cake story. Shame.
If you have Geordie friends, you will find they usually have a simmering resentment that Collingwood has been overshadowed by Nelson. In expiation, I will be posting a poem written in honour of Collingwood and the men of Northumberland on the poetry thread.
[For overseas readers: A 'Geordie' is someone from the North east of England, as was Collingwood.]