I'm not using the latest firmware, so I can only tell you about the older 4.x version. In there, the notes are also kept in a proprietary external format. The format is based on HTML and images, and is easy to read and understand, but it is still only useful on the device itself. So, I would say that the PocketBook devices are about the same as your Kindle in this regard.
I can test with the newest firmware this weekend to see if it is any different. If it is, I'll update this thread. However, I don't expect it to be.
There is a specification for notes in EPUB, but it is recent, and I don't think that any software supports it yet. So, I think you can expect that all notes will be kept externally for a while yet.
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