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Every sensible usb device is to be removed by those steps you just mentioned,
and iTunes, Calibre and others are just sugar coating the steps for you. iTunes made one more step in abstracting this to you, the user, cause if you have iTunes installed, plug your iPod or any iDevice you had and it will not show under windows as a disk drive.
And I believe any iDevice MUST be ejected by the very same iTunes before unplugging physically.
I've had some bitter experiences removing my iPod using device manager and not iTunes, and even with iTunes I've had a problem or two. Bricked and returned my iPod 1 time, made it unable to boot countless times (There I learned the press mid and up the same time to reset trick)
What I'm saying is, the usb defines a standard, and it is to be followed by vendors manufacturing their device. however this standard also governs enumerating usb functions which the device capable of, and while I have not checked it seems from your post that sony reader doesn't support "quick removal", then it should not be used that way. Be that sony SHOULD support it, I wouldn't know, but if they don't then that's it.
Regarding the software,
I don't use sony library software so I can't really advise more, but I can recommend Calibre. I fired up calibre, plug my reader, and it recognized it. Do it the other way around and it will still recognized it. Before unplugging tell calibre to eject it, and then I unplug it physically. No problems. I DO however, check that little usb safe remove icon, and see that the reader is no longer there. You can trust me on my word that it was not there every single time. There are times when I do not use calibre, so I just unplug manually. Therefore I never need to be bothered to see what's on my reader's screen, I just pull the cable.
If this is true, however, that sony library software does not safely remove the device when told to eject, then it is more of the reason not to use sony library software at all. I cringe in horror every time I hear the word "sony" and "software" be used in the same sentence. I know I had prejudice problem, but it is not baseless.
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