Bookmarks are going to be right out. To the infotainment unit your Walkman will just look like (if anything at all) a collection of files. Whoever wrote the software for it (Pioneer I think) might have implemented wind/rewind but I don't know. Hopefully the other users here can comment on that. They could potentially have implemented all the functionality you currently have but I have my doubts. In any case you'd have to recreate your bookmarks for the infotainment unit since it wouldn't know how to get them from the Walkman.
The only music players that the infotainment unit actually 'recognises' and can start a more detailed 'conversation' with are Apple iPods. I have one of these and I can control it with the infotainment unit the same as I would the player itself. I even get artwork displayed on the screen. Unfortunately that requires paying the 'idiot tax' inherent in purchasing Apple products. My excuse is that I had specific requirements that no other device seemed to offer namely:
* Automatic play on start.
* Resume playing from last position.
* Enough storage to hold my entire music collection.
* Shuffle by album.
What annoyed me was that when I had to replace a failing iPod classic it turned out that album shuffle was no longer standard and required me to install an app from the ITunes store. Cost me an extra 75p

That was for the Mk2 Jazz head unit though. I have wondered if maybe the Mk3 infotainment system was more functional. It's too late for me anyway but if my Apple kit fails it'd be good to know I could just revert to a flash drive.