I too have a 500. I just loaded a PDF file on the internal memory of the 500 from a CD. I then selected the internal memory of the 500 and it displayed all of the books on the Reader including the just added PDF. I then selected the PDF file and moved it to the Library with the books downloaded from Sony. No red circle with a slash, just a plus sign ("+") and when I selected thew library the PDF was there. I disconnected the Reader and then opened the PDF from the library and it was the same file.
I am not sure what is happening with you as I am able to move PDF files about.
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