Don't know if this will help but go into "Bookmarks" and press "delete" instead of "go". It will show you all the bookmarks and the file name.
Of course this will only let you delete a specific file and not go to it. You have to actually go to the specific file in order to go to the bookmark and that kind of defeats what you are asking, but by viewing all the bookmarks as if you were going to delete them might be of some help. Be careful though because I have already been in the delete mode and clicked on a bookmark thinking I was in the "go to" mode and I lost it.
You probably use audible or something for your audiobooks. I use Netlibrary and their audiobooks are just one big file. I prefer this much more because I simply set a bookmark for the audiobook I am reading and I can easily go back to it. The breaking up of a book into a bunch of files is for the birds. I have never had any issues with larger files on the T9. Don't recall the largest file but I know I have had ones 9 hours long.
Samsung firmware people are some of the dumbest I have come across. You should either be able to go to or delete bookmarks without having to go to the specific file first, or have to go to the file to do either. Instead you have to go to the file to go to the bookmark but can delete it from any file. It should have been reversed if anything.