Yes and no. I found if I load the library from documents it erases the one on the C: drive so I have to copy it back over. But I would like to be able to have the library load automatically when I open the course, however I haven't found a way to do that. Hopefully other designers out here will be able shed some light on the problem. Myself, I really don't know.
Nothing should be erased, sound like you're dragging a folder over and not using the PG layers library menu to bring your library into the project correctly.
If you do something abnormal with the library, perhaps use unrecognized characters, too long layer names or change the original layers too much i.e. you rename fairway to something like 06fa_light etc. you may encounter an issue. We're using the same CF as everyone else is and we never seem to have many of the problems that people report on the forums.