I found the answer.

The trick is to never untick the "books" box in the left hand side column of the Reader for PC (sync settings), section "reader", sub-section "synchronise". I was naive enough to believe that syncing only the collections would be enough. I must say this software is extremely non intuitive (we might call it a trap !)

If you incidentally untick that box, then you might lose your notes, whatever you do next.

However, you can limit losses by doing as follows as soon as you realize that that box is unchecked and/or that your notes are disappearing, but first you have to make sure that what you haven't lost yet is properly backed-up otherwise you risk losing more data:

1. while connected tick again the "books" box in the left hand side column of the Reader for PC (sync settings), section "reader", sub-section "synchronise";

2. disconnect your e-reader from your PC;

3. make sure you have properly backed up what could still be backed up

4. format your e-reader memory (WARNING : make sure you have properly backed up what could still be backed up; I personally left my Reader for PC library untouched so that I could then synchronize again)

5. sync your e-reader with Reader for PC.

At this stage, you'll have on your e-reader all the books from you Reader for PC library as well as the latest notes that it had synchronized before the "books" box was unticked.

Thanks again to Sony for providing us with such a problematic software. Without this software problems, the PRS T1 would be just perfect.