This has been reported before, although some folks have reported not seeing this problem.
Since the microSD card is removable, the NC must recognize that it is still the SAME microSD card loaded after a shutdown. I guess there are some problems there.
Most folks have worked around this by using internal storage for their sideloaded books and reserving the microSD card for other stuff like pictures & movies.
I've spent countless hours at the store and on the phone bellyaching about this very issue. In a nutshell, there is no support for the sdcard, the main focus is to support the nookbooks, as it should be. We're on our own. Everytime the nook color has an opportunity to "lose" contact with the card; via reset, sleep etc; it will, and will empty out the shelves. I do not experience the same issue with my nook classic, but shame on me for expecting the awesomeness of the classic except in color.
I moved the books (epub and pdf) to the nook memory to my files/books. It took a considerable amount of space but have been able to keep my shelves for 2 weeks in a row now. The only problem is that the favorite fix from BN for all my other problems with the nook color is a hard reset which will delete all those books. Although I have backups on cards, I'm not keen on spending days on reshelving, that's already enough time spent I'll never get back.
When I can no longer hold out on that hard reset, I plan to "copy" the shelves on my sd card. Each shelf would be a different file on the card and then I would use the my files/memory card tab to find my "shelves".
Caveat: I do not use my nook color much at all because I find it an exercise in frustration. It's very quirky and does all sorts of crazy things. I fix one issue and let it sit for days before I try to deal with the next one because I find that too much "massaging" of the data or battery power less than 80% makes it crazier. However, I don't think the lack of use is a factor in the shelves staying once I added the books to the nook memory.
I hope I have been of some help.
Do you find that as you scroll down the shelves the first book on the top shelf "moves" down the shelves? Or that you've finally reached the shelf you want and as you're scrolling horizontally to get to the book you're looking for the shelves scroll back to the top shelf?
Wow... I am kind of sad to see BN not support the micro SD card like that.. Even though I understand the the shelves on NC is to show off the books you bought from BN and help encourage you to buy all of your books from BN and never think about loading the epub books you may already own, it should at leas do everything the classic Nook can - which I also own. I guess it gives all the more reason to root my NC and alter the NC as I see fit so it could perform as the reader tablet I'd expect it too.
Unless I'm misreading your post, I'm trying to figure out what you are doing differently.
I have most of the books on my sd card shelved on the Nook color with no problem.
However, as everyone else has complained, I cannot add them to the home screen. However, they do show up in the Keep Reading menu of the home screen.
I have a similar problem. I connected my NC to my PC and loaded about 20 epub books on my micro SD card.
The NC found and listed all my books when I clicked on "Books", and I created shelves for them and that went well for about 5 days.
Until I bought a few childrens books from the B&N website and turned on the WiFi on my NC to download them. A little afterwards I noticed that all my shelves I had created and stuffed with books from the SD card were empty.
The books are still listed when I click on "Books", and I could manually add them again to my empty shelves but I wonder if I have to repeat this procedure each time I connect to the Internet?
Unfortunately I can't be connected permanently to the Internet since my NC can't connect to my hotspot at home, I get the error "Connected, but no Internet" after I type in the WiFi passcode.
I have done some network sniffing on my connection and this network problem looks like a bug in the NC network code.