Okay... three minutes later the bookmarks were gone.
It looks like this is similar to the Forums and Post Alerts that take some time to update. I can live with this, but it is a little frustrating when trying to clean-up or catch-up on lessons and messages.
It would be nice if these areas updates in a more timely manner.
This post has been updated to reflect my experience with this issue, and I consider it SOLVED.
ISSUE: While cleaning-up and trying to remove some lessons that were previously bookmarked, I noticed that clicking on the blue bookmark to remove the lesson does not work. The blue icon vanished, but upon reloading or coming back to the bookmark page, the lesson(s) remained bookmarked.
ANSWER: Like several issues on Chess.com, this issue is related to a lag with updating the bookmark removal. At the moment, but bookmark removal appears to reflect the change after several minutes.