I'm just posting this in case anyone else ran into the same problem:

When you start a new game, you get a prompt asking you if you want to load save data from Ys 8 and Memories of Celceta. I had both games installed with completed save data (ng+) but the game only recognized the data from Celceta. I believe it was due to the fact that Ys 8 has its save data in the game directory itself, while Celceta (and quite a few other Falcom games) have their save data in a common directory (C:\Users\[User Name]\Saved Games\FALCOM).

In order to get the game to recognize the data from Ys 8, I created a directory names "Ys8" in the aforementioned "FALCOM" directory, and copied the contents of the Ys8 "savedata" folder to it. When I ran Ys 9 again it finally recognized the data, and I got both bonus items.

Ys IX isn't looking in your GOG install folder of Ys VIII. Instead, it's looking for a FALCOM/Ys8 folder under your user profile's Saved Games directory. Sean from NISA posted a fix to the Steam forum, and it works for me.

1. Create a 'Ys8' folder inside %userprofile%\Saved Games\FALCOM\, so it appears as %userprofile%\Saved Games\FALCOM\Ys8

2. Locate your Ys VIII save data inside your installation directory of Ys VIII. (They should be located at \Ys VIII Lacrimosa of Dana\savedata\steamsave\.) 'steamsave' folder name may be different depending on the store where you've purchased the game.

3. Copy all of the Ys8 savedata contents (data0001, data0002 ... sdmem1) from Step 2 into the Ys8 folder you've created in Step 1.

For the GOG version, replace "steamsave" with "save" for step 2.

Just to add, creating the game-folder, and making an empty text-file with the name "data0001" is enough to get the Y's 8 item.