In your headings, you have two colons, so I want to make sure I understand correctly.
Are you just wanting the Chapter + number bolded?
And are looking for it to be more generic (so that it matches lines that don't have a 'Chapter')?
I will make some assumptions here:
Here, the expression matches from start of line ^, Chapter, .*? (anything else), [:–—] up through colon, en-dash, em-dash.
Finally they are all wrapped up in ( ) to capture them. And the Match is set to $1, which is the first capture group.
Finally, I use the new Set Style action to make it Bold. If you aren't on the new beta, you can use the Set Font option:
The Style option is moved to the end starting in 9.2b3 as well, but otherwise works the same.
If I misunderstood, please let me know.