When Rose and Jack are sucked underwater at the Titanic's sinking, it looks like she is barefoot, yet later, in an overhead shot of her on the piece of debris, she is clearly wearing her shoes. It is highly likely she would have lost those shoes with all the running and swimming she's been doing!!
She does still have her shoes when running. The shoes for women in those days were exceptionally tight, so it's very possible she would still have had her shoes when she was on the board.
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