Welcome to the forum.
Where are I going wrong?
I wish they hadn't put that note in the manual quite like that - it leaves out a load of important instructions.
When you create the cues in MV, you should use the CTRL+Shift+F8 key combination to do it - this inserts potential track points into the mix. What happens then when you try to export the file to CD view is that you get a box open up called 'CDList track usage', where you get to choose some options. It sounds to me like you would have the first option checked, and that's not what you want at all. You need the second one, called 'Add Multiple CD tracks Using Track Markers'. Then select 'Use Track Point Markers' and 'Each point pair becomes: a new track range marker', and 'Use Marker Label As Title For Each Track'.
Then select custom track properties, and check Pause. Set the value to 0, and check Create New CD list.
Now, there's a fairly good chance that it will take your individual track cues with names, and insert them with track titles, but still have it play as a continuous concert, allowing you to jump to the appropriate point in it if you want to. You can't avoid a 2 second pause at the start, because it's part of the Red Book standard, but you never notice it because the CD player always starts from the beginning of a track, not the pause!
Also, you might want to alter settings sliightly to take account of whatever you've done at the beginning and end of your concert, but I think that the options here are quite clear within the selection box - you should be able to sort this out with a little trial and error, I think.