Calibre expects books to be on the device in the folder database/media/books (and subdirectories). If they are somewhere else, then calibre won't see them and thinks they are gone. In this case, it will remove the books from the sony DB. The reader will then put them back into the DB, but the collection is gone.
There is no solution to this other than
a) manually moving the books to where calibre expects them.
b) using calibre instead of ADE to put them on the device.
In general, using both ADE/Sony Reader and calibre at the same time will lead to trouble. This is one example. Periodicals are another.