To at least a certain extent, BCL collections do seem to take paging concerns into account. They also take CPU cache concerns into account (which overlaps in some regard, as locality of memory can affect both, though in different ways).
Consider that Queue<T> uses arrays for internal storage. In purely random-access terms (that is to say, where there is never any cost for paging or CPU cache flushing) this is a poor choice; the queue will almost always be solely added to at one point and removed from at another and hence an internal implementation as a singly linked list would win in almost every way (for that matter, in terms of iterating through the queue - which it also supports - a linked list shouldn't do much worse than an array in this regard in a pure-random-access situation). Where array-based implementation fares better than singly-linked-list is precisely when paging and CPU cache are considered. That MS went for a solution that is worse in the pure-random-access situation but better in the real-world case where paging matters, so that they are paying attention to the effects of paging.
Of course, from the outside that isn't obvious - and shouldn't be. From the outside we want something that works like a queue; making the inside efficient is a different concern.
These concerns are also met in other ways. The way the GC works, for example, minimises the amount of paging necessary as its moving objects not only makes for less fragmentation, but also makes for fewer page faults. Other collections are also implemented in ways to make paging less frequent than the most immediate solution would suggest.
That's just a few things that stand out to me from things I have looked at. I'd bet good money such concerns are also considered at many other places in the .NET teams work. Likewise with other frameworks. Consider that the one big performance concern Cliff Click mentions repeatedly in terms of his Java lock-free hashtable (I really much finish checking my C# implementation) apart from those of lock-free concurrency (the whole point of the exercise) is cache-lines; and it's also the one other performance concern he doesn't dismiss!
Consider also, that most uses of most collections are going to fit in one page anyway!
If you are implementing your own collections, or putting a standard collection into particularly heavy use, then these are things you need to think about (sometimes "nah, not an issue" is enough thinking, sometimes it isn't) but that doesn't mean they aren't already thought about in terms of what we get from the BCL.