PDF chapters get wrapped in h2 tags based on heuristics, the words 'appendix' and 'interlude' aren't words that trigger heuristics to wrap the heading in h2 tags. Appendix is probably a valid heading to be added to heuristics, but I'm a bit leary of using interlude - I've never seen it used before.
You either need to write your own search and replace to wrap those words in <h2> tags or hand edit after the fact in Sigil.
PDF is a format that will always need hand massaging in Sigil if you're striving for perfection on issues like this, as is discussed in the sticky dwanthny linked.
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