The synchronisation of Kindle personal documents has always worked fine for me. It doesn't work for PDFs though.
Be careful to only email the document to your @Kindle.com address once if you have multiple Kindle devices/apps. It will be delivered to whichever Kindle is associated with that email address, but will also appear in the Cloud or Archive section of your other devices. Use this to download it to the other devices. That way each device is seen to be reading the same version of that book. Emailing the book separately to each device means that each device is essentially reading it's own copy of the document, so the progress/bookmarks/notes etc. have no other devices to actually sync with.
1My big complaint is that I cannot download ebooks from my Personal Documents to PC or to Mac based reader apps. It would be such a nice feature, if it could work that way... – gyurisc – 2013-07-18T12:08:21.930
Yes, that is a bit of a pain. They are also not viewable in the Cloud Reader. – Rob – 2013-07-18T12:38:07.790