On
Manage Your Kindle, in the Whispersync Device Synchronization tab on the left navigation sidebar, is your device sync set to off? If so, no data will be saved in the cloud.
If it is set to on, then your annotations should be synced, there is no difference between Amazon-purchased ebooks and ebooks which were emailed to your send-to-kindle email address. Try waiting a few minutes with the WiFi on, perhaps it is still in the process of downloading?
Also, if you deleted the book without having synced with WiFi after the bookmark was made, the data will be deleted from your device even though it was not uploaded yet -- always sync before deleting books.