I don't think you can do that. I have burned VCD's from Vegas.. but my understanding is that chapter points are not used in any way as part of this process. At least there is nothing I saw in the help files that implied chapter points would be transferred onto a VCD.
I've done it with Nero and a couple other products in different formats. Not true chapters, more like jumping off points so you don't have to play the whole CD to get to point X. AFAIK you can't do it in either Vegas or DVD-A.
I suggest you vist the below extensive help site where such topics are the daily grind in theirvarious forums and they have a bunch of how-to as well.