You can set/remove bookmarks in the ConnSoft, but only on books that are
in the ConnSoft library -- you can't set/remove a bookmark on a book that's in the Reader via ConnSoft (another feature hole in the ConnSoft, in my opinion).
If you want to delete all bookmarks in a book, you can do that from the Utilities menu in the individual book menu, it has a delete/remove all bookmarks option.