KindleGen supports waypoints, but there are some creation/display quirks.
You need to make a valid NCX and link it properly via the OPF in the way that KindleGen likes to see it. If you have even a slight error in doing either, it'll ignore everything.
Also, there seems to be a limit on the number of NCX entries you can make
before it starts to choke on stuff, but that probably won't be a problem for you.
Here are two earlier threads which perhaps you may find useful:
Hope this helps, and welcome to MobileRead!