It means that the marker is NOT on an I-Frame. Move the marker left or right a frame at a time until it turns red. THAT is where your I-Frame is located.
If you add the markers in Vegas, it will automatically make sure there's an I-Frame at each marker location.
Yes, it will play fine. However, the chapter point will NOT be exactly where the marker was placed. It will be moved to an I-Frame (i.e. theoretically you could be up to 1/2 second off). So if YOU want to chose which I-Frame, you will need to move it yourself.
This is one reason why setting the markers in Vegas and rendering to MPEG2 from Vegas is desirable. Wherever you place markers on the timeline, it will go ahead and add a new I-Frame at that point so that your chapter points will be exactly where you want them.