The NW-A45 does not recognize playlists that are not in the Music folder on either the device or the SD Card. On the 'Options' tab for the device, under the 'Playlists' section, ensure that the destination directory is set to /Music/. If you are experiencing an error where your playlists aren't showing up on your device after synching, it may be a result of MediaMonkey's settings for synching the device.
Wanted to drop in and post on a problem I experienced and resolved in synching my new Sony Walkman with MediaMonkey.