Are you even using Registry to store your configuration? Don't you use an INI file? If not, then the bookmarks must be there. If they are not, you do not have any stored bookmarks. WinSCP never deletes any bookmarks on its own.
Before posting, please read how to report bug or request support effectively.
Bug reports without an attached log file are usually useless.
HKCU\SOFTWARE\Martin Prikryl\WinSCP 2\Configuration\Bookmarks