You certainly shouldn't do. I have upgraded trough many v9 service releases without losing bookmarks. I have even upgraded from v9 to v10 and had bookmarks remain intact.
On the server the bookmarks are stored in a file that sits in the same folder as the .qvw file with the extension .shared. It is important that the .qvw file is not renamed so it no longer matches the .shared file and that the .shared file is not removed.
Obviously the advice is to back up and have a strategy in place for rolling back - if you have the hardware available to allow you to do this.