Having the same problem. Downloaded a book, highlighted segments, quit, reopened, the highlights were still there. So spent two hours highlighting and underlining. Quit out of program - reopened - and ALL the NEW highlighting, etc, had disappeared, but the OLD stuff (just a couple of pages) remained. Curious! However, MAY have found a solution that you might try (do test it thoroughly though). Now I'm on Mac (Leopard), so assuming our settings and window displays are the same: After you've done your highlighting, go to DOCUMENTS in the menu bar, then to COMMENTS then to EXPORT FILES and on the drop-down 'Format' menu, CHOOSE 'Acrobat XFDF Files'. So far, my exported file has RETAINED ALL ANNOTATIONS... but who knows, tomorrow might be different. And to quote from Shakespeare in Love: "It's a mystery..."
Cheers - Randal Flynn
P.S. I have NO Annotations Folder in 'My Digital Editions'... What does that mean?