I never had a problem with that, most of the time I used calibre (a free program that allows you to organize your books into series, genre etc... when they're on your Sony) to upload books onto my Sony. On the odd occasion, when I was in a rush, I did just drag and drop though. And always with no problems. The only time I ever had a problem loading a book on my Sony that wasn't from the Sony store was when I'd purchased a secure epub from All Romance -- but their huge FAQ section solved that little problem for me
check out calibre, that program is awesome!