Thanks, I’ve moved this over to the Scrivener for Windows section as a bug, since it clearly does not seem to be reacting to these settings when using plain-text output (whereas it does seem to work with other formats). It doesn’t look like we have that written up yet as an internal ticket, so I’ll do that.
As an aside, as a Markdown user I most often handle formatting and numbering entirely at the stylesheet level, rather than baking it into the text itself with compile settings. It depends on the kind of file you are converting to of course, how that would be done, but even CSS can do all of this, for example, inserting "Chapter two - " into <h1>Section Title</h1>, and then transforming the case to upper. So that’s a potential workaround for any file type that can do such things.
I would imagine Word with DOCX can do so—LibreOffice certainly can if not. With Pandoc you can even set up the numbering and formatting into a template and set the compile command line to use that template for the output and get the result you want in one shot.