It is not PRS+ issue, the reader itself does not "enumerate" the books too, like most folders/files does not exist at all. I tried creating structure containing only english characters (characters from the latin alphabet, the originals are on cyrillic) and it works fine.
Calibre is nice too, but the generic issue is that the the reader itself can't sort anything with cyrillic, if you open books by author or books by name, the only thing you see is "Other" with 1000 books in, you can read the book faster than finding it this way.
On the other side, if I manage to make that sony actually show contents of the files and ultimately create structure like:
Authors starting with A\collections\books
Authors starting with B\collections\books
.. etc, of course with cyrillic leters, A,B are only example
And use PRS+ to browse that, I'll get rid completely of the 505's interface for finding books, will have the sorting working (PRS+ sorts cyrillic letters great too) and actually stop fighting with that reader and begin using it