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Sony readers are not quite the same as other readers. All the metadata for your books (authors, title etc) is stored in a database file on the reader (FYI it's called media.xml). It doesn't much care what filename you gave your books in the Send-to-device template but it does store the filename in the database.
If you want to make sure that this database always reflects what you currently have in Calibre (without any need to resend to device) then the way forward is a Metadata Plugboard for the Sony. Every time you connect, Calibre updates the Sony database with the latest metadata no matter which book format (epub, pdf, rtf, txt). I don't use Notes and bookmarks much, but as far as I can tell they don't get deleted if you're using a Plugboard.
If you would like some help setting one up I'm volunteering to help. Just let me know.
P.S. You can also maintain Sony Collections with Calibre. This is entirely separate from the Plugboard.
P.P.S You can also maintain Sony thumbnails with Calibre. This is entirely separate from the Plugboard and Collections.
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