I'm not sure what you are asking. If you want to save chapter markers from Vegas and use them in DVDA when you render in VV make sure the box is checked. You won't see the chapter markers in DVDA unless you examine the stream. However, you can right click on an item that has saved chapter markers and select "Insert Scene Selection." This will automatically create sub menus with the different chapter points you have marked.
I'm talking about when you are in DVDA not Vegas. There are buttons in the Media properties window toolbar next to the play, insert chapter,
and set in/out point buttons. They are for loading and saving markers.
When I click on them nothing happens. i.e. no requester window opens to load or save.
I'm wondering if this is something that has to be set up somewhere.
Why are you expecting a window to pop up when you press save?
The markers are saved in a file of the same name with a .sfl extension. Try this: Load a clip and place a few markers, click on save markers (visually you see nothing), now move the markers and then click on load markers. They should immediately return to the original position.