Now that .Net has a native HashSet implementation (in Orcas), can we use that instead of Iesi.Collections? Do we need to do any special mapping or create a custom user collection type to make it work with NHibernate?

No you can't, and it's unlikely you will be able to in the future. The biggest issue here is that there is no ISet interface in the .net library, they just added a specific implementation.

Keep in mind that NHibernate needs the ability to swap out your set implementation with its own so that it can track state changes of a collection. Internally NHibernate actually uses its own PersistentGenericSet<T> when you attach an ojbect to a session. If they had an ISet<T>, then I would assume it would be possible to swap out the Iesi set collections in the future, but without it I think it is rather doubtful.