Your answers are so clear and patient, no wonder you have such awseome karma Bookworm_Girl!
Fortunately, the notes were never that important. The main thing was to learn how it works. I am too cautious to put important info on a new gadget.
So I started from scratch. I deleted the book from the reader, re-transferred it to the reader, made new notes, exported them to an rtf file, re-opened the book on the reader and... voilą, the notes were still there.
I am not sure what happened last time. I can understand why you assumed I was confused.

But I was trying to find the notes on the reader itself, not the Library program.
Nonetheless, I am going to abuse your generosity and ask you to explain something you said, please. I am unable to delete highlights/notes in
either of the ways you explained.
1) The only "delete" option I see for notes in the reader's menus is the "erase" option within the Create/Edit menu (requiring erasing one by one).
2) The Sony Library software mentions the Delete option in both the Edit pulldown menu and when I right-click the notes in the bottom left-hand corner. But the option is in a light grey color - unselectable. This is the case for all files I have tried so far.
In all cases I am working with the software, but making sure that I have selected the copy of the book file that is on the reader, I promise!
Thanks in advance.