It depends on how the Mobi file is generated. Some of the books on Amazon were generated back pre-Kindle and sold by Mobipocket. When the Kindle launched these books were made available on Amazon, but their basic formatting wasn't changed or anything, or at least thats what I expect happened. I've found it hit or miss as to if a book will have them or not (especially if it's been out as an ebook for a long time). I sometimes re-format myself just so I can have them in my books.
As for The Girl With The Dragon Tattoo, it does have the marks (at least the copy I bought earlier in the month does) but it appears because of the way the source file was formatted (likely n ePub) the marks only show up for the "Parts" and not the chapters which are a level down on the TOC. It does have a regular TOC at least that can be used if need be.
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