For some reason this feature does not work in Adobe Reader X version 10.1.3. It used to work before. Maybe this is a regression or just another Windows 7 64 bit problem. I applied the latest Adobe updates, still no luck. Is there anyone else with this problem in Adobe Reader X?
I found a work around for anyone else who runs in to a similar issue. Use Adobe Digital Editions to read the PDF. That automatically saves the last page and the document is a lot more readable.
This could be a deliberate attempt from Adobe to push us to using the Digital Editions, to enlarge the platform and maybe, to capture some valuable user information as well.
EDIT2: Adobe Reader fails to save the place for some pdfs and works for others. My previous pdf was more than 10mb, so size may have something to do with it. This is probably a bug in Adobe Reader 10.1.3