If you use MComix with Ubuntu Unity's global menu, the bookmarks are missing from the bookmark menu. The bookmark menu itself is there just fine, as are the menu items for adding a new bookmark and for editing the existing bookmarks, respectively. But the existing bookmarks are not listed under those bookmarks.
If you use MComix without the global menu, the bookmarks are listed as they should. Probably the best way to reproduce the problem is to have Unity show both types of menu, the global and the application menu. You can do that by setting the variable APPMENU_DISPLAY_BOTH to 1:
This way, you get two menu bars with a bookmark menu each. One of those bookmark menus, the one in the application window, does list the existing bookmarks, the other doesn't.
A little poking around in the code gave me the impression that the function menu_shown from bookmark_menu.py isn't called, for whatever reason. But this is mostly guesswork, because my experience with Python is rather limited so far ;)