Blu-ray is like HD DVD. It has to be enabled on a per title basis. If the disc doesn't support it, you can't bookmark. And if the disc does support it, the exact button to push can change from title to title.
This and not doing an automatic bookmark (just pop the disc back in and it picks up where it left off) are the two biggest flaws in the HD formats in my opinion. I'm sure there are technical reasons that make perfect sense. But when a DVD player can do it and the more advanced HD player can't, it just looks bad in my opinion.