Two questions to start:
- Are you working with a single copy of all your content (either local on a single computer where you're doing all your editing or on a network that you access from different computers) or do you have two or more copies of the content? This is important because clip markers are saved to the clips, not the project. Therefore, if you're passing the project from one computer to another, each with its own copy of the content, then the markers will not come along.
- Are you working with merged clips? There are issues with markers in merged clips.