In the Insert menu, you can see that there's an "SGF chapter marker" option that (unsurprisingly) inserts one such marker. The marker looks like a horizontal line in the Book View and like this:
Code:
<hr class="sigilChapterBreak" />
in the Code View. The point of the markers is that you can insert many of them in one XHTML file and then split the whole file into many smaller ones at once, with the Tools->Split On SGF Chapter Markers option.
You can also add these markers to your HTML file with some external application/script before importing the file into Sigil. Power users find this ability quite handy.