Great question! This is tricky. The answer depends on how print shows the headings.
Without actually seeing your headings, I cannot give one clear answer. Connected headings, rather than a single heading divided between lines, are often indicated by differences in capitalization, typeface, and size of font. Look at BF examples 4-3 and 4-4. These examples show distinction between the heading label and the connected heading. Does your book show any distinction between the label and the title headings?
If their is no distinction, the headings may be considered to be one heading simply divided between lines (for balance) throughout the transcription. The headings would be encapsulated by one set of passage indicators.
If there is distinction between the "Chapter One" and "Evan Donnelly," it is a connected heading. Accordingly, each heading is capitalized separately.