Sadly no. I've asked for this feature since Vegas 3, but alas it doesn't exist yet.
I'd also like the ability to manually split captures up into multiple files while capturing. Maybe press the "s" key or click a button and the current capture file is closed and a new one is started ... just the way that auto scene detection works except triggered by keypress instead of time/date code.
If you are capturing DV. you can use Scenalyzer, and when you want to "insert a marker," you can press the spacebar. This will create a new video file. This gives you a "marker" that you can edit. If you truly want a marker, you can put the events on the timeline and then use one of the event to marker Vegas scripts to actually insert a marker on the timeline.