Before we do anything, be sure that metadata management (preferences -> send to device -> metadata management) is set to automatic. Send the books, unplug the device, plug it back in, then run calibre again. Don't send the books again. Unplug the device and see if the series are as you expect.
If the above changes nothing, then the only way I know to solve this problem is to look at the Sony databases at several points. You can post the databases here if you don't care that the world sees what books you have on your device. If you do care, then create a ticket at
https://bugs.launchpad.net/calibre, mark the ticket private, then post the files there as attachments.
What I need to see is the sony database file, found on your reader at database/cache/media.xml. Best would be for you to:
1) remove the series from the device
2) unplug the device and wait until it is ready.
3) stop calibre
4) plug in the device and grab a copy of the database. Unplug the device.
5) start calibre, restart calibre in debug mode (on preferences menu)
6) plug in the device, send the series, stop calibre, capture the debug log in a text file. Do not unplug the device.
7) grab a copy of the database.
8) unplug the device, wait, plug it back in, being sure that calibre is not running.
9) grab a copy of the database.
Be sure to name the copies appropriately. Put all three database files + the debug log into a zip file and post it.