Laurie,
Apparently the transfer of bookmarks is from iTunes to Shuffle only -- the Shuffle doesn't transfer a bookmark to iTunes. Hence, if you plug your Shuffle into your computer and open iTunes the bookmark will most likely be reset to the beginning of the book and the annoying "This is Audible" pronouncement. So, unless you want to load a new book don't open iTunes when you plug your Shuffle into your computer (for example, for recharging). And, I never turn OFF my Shuffle unless it needs to be reset.
Regarding your second problem -- this is one I've not experienced. For a pause of less than, say, an hour when I push the Pause button the book immediately resumes. For a pause longer than an hour (or so -- I've never timed it), when the Pause button is pushed the status light lights for several seconds and then goes out -- when the Pause button is pushed a second time the book resumes playing at the point I left off. Finally, I only download from Audible.com in Format 3, and I use the AudibleManager software coupled with the Audible Download Manager software to get the books directly into iTunes with no intervention on my part -- the books show up in a folder in the iTunes Source List called "Audible."
Roger