It sounds like your epub doesn't have a Table of Contents then. Make sure the Epub has a working TOC according to Calibre's reader or Adobe Digital Editions before you convert your epub back to Mobi.
Check out this thread for a tutorial/discussion on getting Chapter detection to work:
https://www.mobileread.com/forums/sho...d.php?t=122222
You need to do this when you convert the initial mobi to epub. Use Sigil if all else fails, but make sure you have working epub TOC before you convert back to mobi, or make sure that structure detection is set correctly.
Edit, important item I forgot, and this may be the core of your problem:
Calibre is probably using your mobi's ncx to generate a TOC during the initial mobi->epub conversion. You most likely have a TOC at that point, so my advice above isn't neccessary at that point.
Sigil destroys the existing TOC when you edit the file in Sigil. So Calibre may have generated a TOC during mobi->epub conversion, but then Sigil destroyed it because it didn't meet Sigil's standard method of generating a TOC.
In order to fix that you need to either manually rebuild the TOC in Sigil by wrapping each Chapter heading in heading tags, or you can try to enable chapter detection on epub-Mobi conversion - this will require following the tutorial linked above.