Typically, you would NOT want to capture direct to MPEG2. MPEG2 is not an editing format. You capture to an format that's better for editing and then render to MPEG2 for the final burn.
Vegas does include scene detection. Look in the preferences and verify it is turned on. If it is turned on and you're still not getting scenes detected, verify that the clock in the camera is set before taping.
You don't have to capture in Vegas' VidCap. Use whatever capturing program you like, then import that MPEG file into DVDA.
Thanks chien, I have actually been doing alot of tests with that. Sometimes I get no audio, and some other capture apps will not "break" files into seperate files at time stamp points. This makes it hard to setup chapter menu.
Any good capture apps to recommend with Vegas? I think I may have used them all by now....