Chains do get saved into scenes, but only one chain per track. That way you can have up to 16 chains per track. Also, scenes do get saved with the project. (As do chains)
Or perhaps I'm misunderstanding ....
@artao: Ah I see what you mean, so chaining up to 16 patterns to each Scene slot is possible, then my request would be to be able to
1) chain Scenes (up to 16 per project in non-volatile memory, yielding up to 256 chained patterns, 16 Scenes x 16 Patterns per Scene), AND further
2) chain Projects (up to 16 in non-volatile memory, yielding up to 4,096 chained patterns, 16 Projects x 16 Scenes per Project x 16 Patterns per Scene)
[I understand if the onboard storage/RAM capacity is not sufficient for request #2, but request #1 (Chaining Scenes) would be a fantastically helpful feature addition for Composers]