Video files don't retain bookmarks. But DVDs may solve your issue...
If a sequence is going to be burnt as a video DVD, chapters can be added to the DVD by setting bookmarks.
First, add bookmarks to your timeline:
- Right-click the timeline at the position where you would like the chapter separator to be and select Set Bookmark.
- Change the name and color of the bookmark if you like (this will not affect your DVD chapters), then click OK.
- Repeat the above steps for every position you want to start a new chapter. Each bookmark will be used as a chapter separator.
Second, choose to export your movie to DVD:
Follow the instructions in Saving, Sharing, or Burning a Video to burn a DVD.
A dialog will appear, asking if you would like to export your bookmarks as DVD Chapters. Select Use bookmarks as chapters.
It's possible to access bookmarks on a PC if export is a DVD | Movie IMAGE FILE. The result is an ISO folder... 
Double-click on the folder and it will create a virtual drive - a drive letter that can be seen in Windows Explorer (the file manager).
Use an application like MPC-BE. Click FILE | OPEN DVD/Blu-Ray. An Explorer window opens. Find the DVD drive letter and click on it. Click Select Folder to open the DVD in the MPC-BE player. Click the Navigate menu on its toolbar, then Jump To. The chapters will be listed, and clickable.
