That's odd... I do a lot with multicam and I think I've had it happen to me once or twice (never did figure out why!). Here are a couple of things to try...
First, confirm that the markers are really, *really* there. Are they named? If so, are they all named the same (they should be)?
Duplicate the prproj, delete the markers and try again. This would assume that something got messed up in the project metadata.
Easiest solution... "sync" the clips up based on In Points and then right click to open the mulitclip in the timeline. Move the clips around (using the clip markers as your guide) until they are indeed *really* in sync. Get on with your edit and hope it never happens again.
If it *does* happen again... you must be doing something wrong with the way you're inserting markers. But, like I said, I've had the problem happen a few times myself but mostly it works great.
Oh... one more note... it might be easier to sync the whole concert up as one long project and then break it up into songs after you've edited it. Also.. on *any* big project I highly recommend saving an archival version of the prproj every day. I also tend to duplicate the working sequences in complicated projects before I do anything major (or every day). Just a little extra insurance (learned the hard way!)
You've added markers to the clips. Then you're trying to multicam the sequence, so of course there are no clip markers in a sequence. They're clip markers.
The better work flow would be to sync the original clips, cut that, then pick out each song.