I don't have a clue what might have gone wrong with your notes. However, I can advise you to use Calibre in stead of the Sony Reader software. I created a plugin for Calibre, that allows you to merge handwritten notes on with the original (PDF, not EPUB) file, creating a new PDF with the notes included. See this thread for more info:
https://www.mobileread.com/forums/sho....php?p=2050213
Hope this helps!