I punctuate titles where it is stylistically appropriate. This has not been the case on any of my published CHYOA stories so far, as they tend to be game-like stories where each chapter title is a description of an action the protagonist takes. It may be in the future. The way I see it, it's just important to be consistent - unless inconsistency is, itself, a theme in your work, especially to evoke a more comic range of emotions.