I never tried completely turning off my PRS-600, but I never had such a problem. I just put it to stand-by mode by sliding the switch for 3-5 sec or just leave it open so it will go to stand-by mode by itself after an hour (check the Power Management settings in the Advanced menu). Every time I return, I have all the notes and bookmarks correctly set AND "Continue reading" is never on page 1.
Try stand-by (one way or the other) and check what will happen. If not, I agree with banjobama that you could ask Sony. Let us know.
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