Simply marking where the chapter breaks are supposed to occur will do nothing when converted to MOBI—as you've obviously discovered.
Now that you've marked the breaks, you're going to want to go ahead and utilize the "Split at Chapter Markers" feature if you want Kindlegen (Previewer) to create breaks. Kindlegen knows nothing about Sigil's hr classes—nor should it.
If you don't want to physically split up your html file, you can insert a div with a unique class and then use CSS to assign the "page-break-before: always;" attribute to that class. I believe kindlegen will honor that.