As the title says I want to learn LWJGL and make games. Java is huge and there is so much to learn(Lambdas, Collections, Concurrency, Regex..etc), I want to know at what point I should start doing game development.

I don't know how you learn today, but in programming, nothing comes close to writing, fixing, and extending your own code.
Reading or watching a video is mostly useful to know what exists, and an example usage perhaps, but it doesn't give you deep understanding.

This all basically means that imho you should start earlier rather than later to write code. The main trick is to start small, it is easy to pick something waay too big. Rather err on the "too simple" side. For some suggestions, please read Your First Step to Game Development Starts Here - Game Programming - Articles - Articles - GameDev.net

If you want to do something else, by all means, do that.

As for learning the entire language, it's useful to know what things exist, and roughly what their purpose is. When you have a problem where such a thing might give you a solution, you can always study in more depth. For the topics you mentioned:

- Lambdas: Short-hand notation for a (usually small) function. You can do without, at the cost of writing more code lines.

- Collections: Big area, very useful to study. At first, do List, in particular ArrayList. A good second item is Map, where LinkedHashMap gives you the least surprises (at some cpu cost when you modify the map). Set is a good third.

- Concurrency: Seemingly simple, but has a LOT of very hidden traps. Highly advanced, don't bother until you're comfortable with normal programming.

- Regex: Good solution for searching a pattern in text. It's very possible to do without it, at the cost of a lot more code lines.

- etc: Euhm, don't know that :)