Same problem. About half of the 700 photos I uploaded to the Sony DPF-XR100/VR100 would not display. Although all photos (displayed and not displayed) were in jpg format, by comparing photo metadata, I determined that the photos that would not display shared a common characteristic -- by using "Get Info" (a Mac feature), the non-displayable photos all showed TIFF info, while the displayable photos did not.
I spoke with Sony tech support and, after about an hour on the phone, was told that the non-displayable jpgs were in a "bad format." Thanks a lot. The pics displayed fine on my Mac, and using Preview and Lightroom 3. So, Sony's digital photo frame appears to have a major bug. That bug is that it won't display all jpgs, only some.
I'd be delighted to hear from Sony that there is a solution. But, so far, they've put it back to me, saying that the problem is that my photos are not good. 305 photos are bad? I don't think so. All were shot with high end Nikons, Leica or Canon cameras.
Come on Sony, you can do better than that.