I have this issue as well, but can't test out my theory since I'm not home. Just a really wild guess... maybe the movies with chapters have them embedded within the file? The movies without chapters maybe are grabbed when a movie is matched with the proper meta data (when Plex is working properly). With having direct stream only on, maybe if can't fetch meta data chapters and can only rely on chapter markers if embedded in the file????
After playing with the direct stream only option I have notice that some of my movies lose chapters all together. I wonder why some have them while others don't.