Whenever I have chapter markers in a Premiere project I just export the project into an MPEG-DVD file, and if you then import the file into Encore then the chapter markers are saved! It will show them in Encore.
Also, I believe the new way to bring a Premiere sequence into Encore is through Encore – there should be an option to bring in a sequence but I haven’t tried that yet.
Hope this helps, good luck.
~Mary