There are several things that can cause problems:

1. The box you want to check in the Render As dialog is "Save Project Markers in Media Files." Sounds to me like you did this, but sometimes this gets unchecked.

2. I think it was Ed Troxel that asked someone who was having the same problem whether they had moved any of the files after they were rendered. The actual markers are stored in the "SFL" files, not in the actual media file (despite what the render dialog says). So, if you move the MPEG-2 file but not the SFL file, and then open that in DVDA, you won't get any chapter stops. As a corollary to this, if you rename the MPEG-2 file, but not the SFL file, you won't get markers in DVDA.

3. DVDA can be a real PITA with how it refreshes (or more to the point, DOESN'T refresh) folder information. If you have DVDA already open and running when you do the render in Vegas, I am pretty sure I have seen cases where the markers are not picked up until you quit DVDA, re-start DVDA, and the re-open the DVDA project. And, sometimes you have to then explicitly click on the icon above the DVDA timeline that "loads markers."

Finally, no you do not have to name or number the markers in any way, although I highly recommend that you do so, because it is SO much easier to do so in Vegas. If you haven't discovered the Edit Details feature in Vegas, that view lets you look at all your markers in an Excel tabular view. You can even cut/paste all the markers between this view and put them into Word or Excel where you can much more easily edit (and spell check) the results. You can create dozens of chapter points in very short order.