I suppose I would need that. I believe what I tried was as you describe. But what's the point, if MC can't play the result?
For possible readers stumbling upon this thread: playback is possible, it's just not so clap-clap-done like Red October got everybody used to. Video Mode: Advanced - Custom, then change the splitter used to Haali (still for possible users: if you do that and your PC, brain, house explodes, and/or you are teleported straight into outer space, it is NOT my fault.)
Here's an example of a Chapter.xml file that will play back all 3 movies (you can copy it pretty much as is, just change the SUID and the timings if different for some reason):
<?xml version="1.0"?>
<!-- <!DOCTYPE Chapters SYSTEM "matroskachapters.dtd"> -->
<Chapters>
<EditionEntry>
<EditionUID>1</EditionUID>
<EditionFlagHidden>0</EditionFlagHidden>
<EditionFlagDefault>0</EditionFlagDefault>
<EditionFlagOrdered>1</EditionFlagOrdered>
<ChapterAtom>
<ChapterTimeStart>00:00:00.000000000</ChapterTimeStart>
<ChapterTimeEnd>03:48:11.727000000</ChapterTimeEnd>
<ChapterUID>100</ChapterUID>
<ChapterFlagHidden>0</ChapterFlagHidden>
<ChapterFlagEnabled>1</ChapterFlagEnabled>
<ChapterSegmentUID format="hex">97baa0f84793e675a30cb1629be885be</ChapterSegmentUID>
<ChapterDisplay>
<ChapterString>Fellowship Of The Ring</ChapterString>
<ChapterLanguage>eng</ChapterLanguage>
</ChapterDisplay>
</ChapterAtom>
<ChapterAtom>
<ChapterTimeStart>00:00:00.000000000</ChapterTimeStart>
<ChapterTimeEnd>03:55:25.122000000</ChapterTimeEnd>
<ChapterUID>200</ChapterUID>
<ChapterFlagHidden>0</ChapterFlagHidden>
<ChapterFlagEnabled>1</ChapterFlagEnabled>
<ChapterSegmentUID format="hex">b5b43e471f318cdf9e201203b3c2d627</ChapterSegmentUID>
<ChapterDisplay>
<ChapterString>The Two Towers</ChapterString>
<ChapterLanguage>eng</ChapterLanguage>
</ChapterDisplay>
</ChapterAtom>
<ChapterAtom>
<ChapterTimeStart>00:00:00.000000000</ChapterTimeStart>
<ChapterTimeEnd>04:23:10.786000000</ChapterTimeEnd>
<ChapterUID>300</ChapterUID>
<ChapterFlagHidden>0</ChapterFlagHidden>
<ChapterFlagEnabled>1</ChapterFlagEnabled>
<ChapterSegmentUID format="hex">8d6e737552da231f91abb67f069d46ec</ChapterSegmentUID>
<ChapterDisplay>
<ChapterString>Return Of The King</ChapterString>
<ChapterLanguage>eng</ChapterLanguage>
</ChapterDisplay>
</ChapterAtom>
</EditionEntry>
</Chapters>
The file that will play everything (here "Lord of the Rings.mkv") is 439KB and is 1 sec cut from the beginning of Fellowship. It looks like below when loaded in mkvmerge (image shown after muxing the chapters in it). This is just to reiterate that it has to have the exact same structure - type and number of tracks - as the files that will be daisy-chained.
NOTE: here, my original separated files had chapters of their own. These chapters are not shown when doing what we're talking here and, if I remember correctly it's not exactly advisable to mix stuff like that (the dummy mkv ad the individual files, both having chapters). The dummy file can have everything, even each individual movie's chapters but that's more work. It'll look like a movie entry with sub-entries.
So you have this small mkv file, mux the chapters in it, done.
In MPC-HC it looks like this:
And so it does in MC:
In MPC-HC it does not blip, stumble, there's no crackling sound or any sign whatsoever that there's a transition. It is as smooth as it gets, and I'm pretty mighty picky.
In MC your success may vary and will have to try which combinations works best (with Madvr, with EVR, with whatever, between all the things RO(HQ) does and the additional customization required, some stuff may go nuts). In my experience it worked fine (hence the screenshot).
So yes there are a million things that can go wrong since there is no official support in MC. All I'm trying to prove is that it's doable.