For everyone's information I have noticed this as well. You can search for a string pattern in your bookmarks using the bookmarks organization menu ( used to show up as 'Organize Bookmarks' and is now reachable as 'Show all Bookmarks' both under the 'Bookmarks' menu item ).
This built in Firefox feature allows you to search for and find a link based on the occurance of the search string within the 'Name' field and/or 'Location/URL' field of a bookmark.
BUT if you happen to have organized your many hundred bookmarks in a treelike hierarchy of folders, the built in search feature it DOES NOT show you in which of the 'Bookmark' folders the link has been saved.
For finding a bookmark and navigating to it the feature is useful.
BUT if one's intention is to find out under which bookmark folder a given bookmark was saved the feature is useless. This maybe an oversight by Mozilla or it may be intentional.
I have even upgraded to the ESR release ( 10.0.3 ) and ( as of 22.04.2012 ) could not find a built-in feature that indicates a bookmark's location within one's bookmarks hierarchy.
What I can recommend is to use an add-on. For example
Sidebar Bookmarks Search Plus 1.9
seems to do the trick. After installation you must select for the bookmarks to show in the 'sidebar' window ( CTRL-B or 'View -> Sidebar -> Bookmarks' ). You can then enter a search string and click on any matching results that will be displayed in the upper pane of the side-bar. The bookmark's location is highlighted in the folder view at the bottom of the side-bar.