Steve, you're doing everything right. The multiplexed MPEG2 files output by Compressor 2 are MPEG Transport Streams (.mts). The QuickTime Player does not support that format but .mts files can be played in the freeware utility VLC (available on VersionTracker.com).
Transport streams are output by some MPEG2 hardware converters and are also used to transmit MPEG2 video so that may be one of the reasons why Apple decided to use that format.
Here is what Apple says about transport versus program streams:
"The MPEG-2 specification defines two forms of data streams, program streams and transport streams. Each is optimized for a different set of applications and environments. The QuickTime MPEG-2 Playback Component will play program streams, which combine audio and video streams that share a common timeline and are suited for applications with software processing. Playback of transport streams, which combine audio and video with independent time bases, is not supported."
There is more information in the following link (Apple's MPEG2 Playback FAQ):
http://www.apple.com/quicktime/mpeg2/faq.html
For the time being it looks like MPEG Streamclip is the best solution (free) to multiplex the MPEG2 video/audio output by Compressor. However, a shareware utility called MPEG2 Works can also create multiplexed MPEG2 programs streams directly from any QuickTime format. MPEG2 Works is based upon various Unix/open source projects, it works pretty well and is probably the least expensive option on the Mac to do
easy MPEG2 compression. It costs $10 (U.S.) and the author is pretty good about keeping you notified about updates and bug fixes (not spam, just occasional emails about free updates). Here is the MPEG2 Works link:
http://www.mpeg2works.com/
It performs a multitude of functions, MPEG2 encoding, muxing/demuxing, VCD and SVCD encoding (but not burning). The quality of the output may not always be as good as you can get from Compressor, but for only $10 you can hardly go wrong. Also, you will need Apple's MPEG2 Playback component if you want to use all of the features that are available in this utility (it does, however, provide its own MPEG2 compressor). And, of course, the multiplexed MPEG2 program streams that it produces play fine in the QuickTime Player.