Obsidian Collar has been hotfixed on live servers to be eligible for socket upgrades.

Blizzard pushed a hotfix to live servers, making Obsidian Collar eligible for sockets. Previously, you couldn’t put any sockets into the necklace. The change will be retroactive to previously obtained collars, all you have to do is log out and back into the game.

(Source)

We’ve recently deployed a fix to allow for the Obsidian Collar to be eligible for socket upgrades. This change is retroactive to previously obtained collars upon logging out and back into the client.