By default, bookmarks are separate for each file. You can use Mark|Set Bookmark X to set the same bookmark in each file. Mark|Go to Bookmark X will only jump to bookmarks in the current file. The Mark menu will list the bookmarks for the current file.
If you select the Project-Wide Bookmarks item in the Mark menu to make bookmarks project-wide, you will only have one set of 10 numbered bookmarks for all files in the current project. The Mark menu will show the bookmarks for the current project. If you set a bookmark, that bookmark will be set at the position of the text cursor in the current file, and removed from all other files in the project. When jumping to a numbered bookmark, all the files in the current project will be searched through to find the bookmark. The file it was found in will be activated.
If you set the same bookmark in multiple files in the project with project-wide bookmarks turned off, and then turn on project-wide bookmarks, nothing will happen initially. The bookmark will remain set in all the files it is set in. If you try to jump to the bookmark, and it exists in the current file, EditPad Pro will jump to the bookmark in the current file. If not, it will search through the files in the project and jump to the first file it finds. Since this makes it hard to predict where you'll end up if you jump to the bookmark, you should set it again after turning on project-wide bookmarks. Setting the bookmark again will then remove it from all the other files in the project, giving it one place to jump to.
Whether to use separate bookmarks for each file or project-wide bookmarks depends on your personal editing style, and the task at hand. When working with a handful of very large files, using separate bookmarks gives you 10 numbered bookmarks for each file. You can use the tabs to switch between files. When you're working with a very large number of files and you repeatedly need to switch between them, project-wide bookmarks allow you to instantly switch to a particular spot in a particular file.
Regardless of the state of the Project-Wide Bookmarks option, you can use the Mark|Set Any Bookmark command to set as many numberless bookmarks in as many files as you like. The Project-Wide Bookmarks option only affects numbered bookmarks, of which you can have no more than 10.
Mark|Set Any Bookmark
Mark|Go to Bookmark 1, 2, 3, ...
Mark|Set Bookmark 1, 2, 3...