We have a loan where we took three props as collateral. In different tracts. For the small business micro-data report, which tract #/corresponding county should we use?

You don't geocode to where the collateral is located. You geocode either to the headquarters of the borrower or to where the proceeds are used (which may be where the collateral is located, but may not be too). To make life simple we recommend to our clients that they geocode to borrower corp headquarters