Menu Markers are only a function of discs (DVDs and BluRays).
Not sure if you have tried this already as per what you wrote
If I burn to DVD or save to web they are there.
Does the "save to web" = your Premiere Elements 10 Share/webDVD (which is essentially a flash file with menus in folder)
So, just in case note involving the one exception to the menu for disc products only...
If you are interested in a Premiere Elements 10 end product with menus and functioning menu markers that does not involve a DVD or Blu-ray disc, then please explore Premiere Elements 10 Share/webDVD (described "Save webDVD for viewing online or on PC") and the "Save to folder on computer" option. I have used a web browser (such as FIrefox or Internet Explorer) to view the webDVD with menus.
Thank you for all answers,,
I thought that that would have to be the case, but wanted to check that I wasn't missing something.