I've always added chapters in Vegas and the alway ended up in my scene seletion when building a chapters-based DVD.
This time only the first chapter shows up.
Running Vegas Pro 11.
You don't say which video format you're using to get the video from Vegas to DVD Architect. (There is one ideal format for DVD and another for BluRay.) But, when you do output your video from Vegas, make sure you check the option to include chapter markers.
Inhj Vegas identify your chapters (and title them if you so wish) with and ensure that the box in the Render menu to allow these to be included is ticked.