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Yes! I've been thinking this for a while now and I'm in the same situation. If I need to know which bookmark folder the URL is in, I have to stop what I'm doing and open 'Manage Bookmarks', search for it and find out from there. This feature would be a huge help in keeping my bookmarks tidier.
Since there can be multiple bookmarks with the same url in multiple bookmark folders, ... it guess this would require to add a dropdown list or some kind of location tag cloud.