So I tried this out on a couple of different machines yesterday, and still have the same result (i.e. nothing...). It's got to be a workflow issue, but I'm not sure what I'm doing wrong. Here's my process in as much detail as possible:
I'm in my Timeline panel, working with basic multi-cammed interview clips -- 2 cameras, video nested -- on V1 with a separate, offboard audio track from location sound on A1. As I'm playing through the interview, I'll select the video track and add a marker (usually with a KB shortcut, but sometime with the Add Marker button on the top L of the Timeline panel). The result is a marker added to the video clip only. It shows up in the Marker panel, where I double-click on the thumbnail to change the marker colour, exit from the dialogue box, then enter a comment in the text box in the Marker panel -- something like "My name is Frankie P. Cheesewinkle, and I moved here in 1997 to join the outlaw biker gang 'All's Gouda'". I continue playing the clip and adding markers using that same process, effectively giving us a super rough, basic transcription in the Marker panel.
In editing, we sort the clips by colour to find different interview subjects. Clicking anywhere in the Marker panel doesn't move the playhead at all; I can edit the in/out times for each marker and edit the text, but nothing else happens when I click on the marker.
Are you guys running Premiere 11.1.1, or an older version?
This feels like a total n00b question, but what workflow do you guys use in order to get the markers to work properly?
I thought it might be an issue marking a nest, but just tested it on nested clips with markers and again, if I click on the marker in the marker panel, the playhead moves to the marker in the timeline.
Premiere Pro: 11.1.2
I have noticed that it will not move the playhead unless "Sequence Timecode" is toggled on in the Marker Panel drop down menu next to the Marker Panel Tab:

I am not 100% sure I understand the full functionality of the toggling "Sequence Timecode", from the Adobe website:
"When in sequence timecode mode, only the clip markers in the current sequence are displayed in the Markers panel. Any clip markers outside the in/out range of a clip are not shown. Sequence timecode will auto update if sequence timebase is changed."
You could try toggling that on if it is off.
MtD