This info from MS seems to imply a WMV HD DVD can do chapter points.

A Windows Media® High Definition Video (WMV HD) DVD provides a DVD-like menu experience on a computer. A WMV HD DVD features DVD-style interactive menus with buttons that let viewers select various options such as audio track and subtitles, chapter selections, and special feature trailers. This is accomplished on a computer by designing a series of HTML menu pages that expose clickable buttons powered by Microsoft® JScript®.

http://www.microsoft.com/windows/windowsmedia/content_provider/wmvhddvd/default.aspx

Dave