My experience was that it happened fairly frequently.
I didn't order the Bookeen SD card; I used a Transcend 2Gb card of my own.
I didn't synch my books, I just dragged and dropped them in Windows Explorer.
I always disconnected the CyBook with the Windows 'safely disconnect' process.
Nevertheless the CyBook forget where it had got to enough to make it a bit irritating, it didn't matter whether the book was stored on the unit or the card.
In the end I took the SD card out and now store my books on the unit; since doing so, a couple of weeks ago, I haven't experienced bookmark problems.