I've done some googling and this seems like it's an issue, I just wanted to give it a try on here first.
I usually work in MC and I'm doing a mini-documentary in Premiere Pro. I've been putting in markers in a sequence with transcriptions of an interview. After loading the sequence itself in the source monitor, I begin cutting stuff together. It works great, aside from the fact, that the markers don't get copied along with the stuff I'm editing down on my timeline.