Voxelshop commented on my entry yesterday and said that he solved the normals problem I had with COLLADA. I just checked it out and it all works! So COLLADA is back on the menu and so is VoxelShop. I am definitively sticking to it now. Its user interface is way more comfortable then other voxel editors. Thanks Voxelshop!
Here is rendered .dae in game with normals on:
This is with my dodgy shader for the lights. Looks good. And don't forget to grab Java installer for latest version of VoxelShop.