By "Auto load" in the menu do you mean "Auto Play"? This is the feature that does not seem to work. Disks still auto play even when this is turned off. but I found that you can press the Folder button while the Sony starts loading a movie, or even during a movie, and the 995 will load up the navigation list.
And as for losing dats input to a disk on the navagator, if you remove a disk and the do some function with the 995 that spins the carousel (like turning off the Sony), you lose the stored data about the disk