This is normal behavior. I don't see the big deal about learning to either:
1. Don't turn off your Kindle (there's really no point unless you're on a plane), or
2. Just go to the Home screen first.
I suspect what happens is the Kindle doesn't store the page you're on automatically when you turn a page. It probably waits until the next write to flush it out. There are other things you can try... hitting Menu first, for example. But it's probably semi-random depending on the book and your Kindle's particulars.
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