The only time my Sony PRS-T1 has not opened on the last page I was reading is if I had to reset/force shutdown due to an error.
When I shut the reader off willingly, I set a bookmark just in case.
I suppose if you left the reader sitting unattended and left it to go to sleep/shut down on its own, something could touch the screen before it shuts down to change the page.
Things I have observed cause page changes if they land on the screen while reading - insect; hair; drop of water
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