I haven't bought any audiobook downloads - mine have all been on CD. On CD, they use the same conventions as music CDs (since they have to be played on audio CD players) - usually, each chapter is a track. I don't see why iTunes or Audible would do it differently for audiobooks - they're designed to be listened to on the same equipment/software people use to listen to music albums.
The audio CD standard includes Index marks as well as Tracks - an album's producer can place up to 100 index marks on a track (say, to mark specific passages in the movement of a symphony or within a scene of an opera). In practice it was rarely done because most CD player manufacturers did not want to provide extra buttons (or digits in the LCD display) for the purpose - why do the work if most people couldn't use it? iTunes seems to be like that. Each track is a separate file, there's no provision for indexes within a file - if one needed to find chapters within a single-track book, how would one do it?
I just checked the ACX (Amazon) audiobook requirements - each chapter must be a separate file (i.e., a track).