Make sure you check the checkbox "save project markers in media file" when you render from Vegas. Also, you can try clicking on the "Load Markers" button (located above the video timeline).
marker information is typically written to a file with a .sfl extention, so don't be deleting that file, and if you move the mpg file, be sure to move the .sfl file to the same location. Don't rename the MPG file, as the marker file data contains the mpg filename and if they don't match, DVDA won't load the markers.