It might be a bit confusing, but making defining or changing chains itself is not connected to the play modes (sequential/direct jump/temp jump) at all. You can have selected any playmode you want while defining or changing a chain.
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There is no dedicated “CHAIN MODE” screen, only the bottom white row displaying the song row and the selected/defined. You can access and navigate that row by holding “CHAIN MODE” down.
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CHAIN MODE has to be lit (on.) (Take care, if it is off, you might delete your chain by selecting a new one.)
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If CHAIN MODE is lit, press CHAIN MODE and keep pressing it until the end of the process
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Now use the ARROW KEYS to navigate, where you want the next pattern to go to.
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Now (still pressing “CHAIN MODE”, press BANK + TRIG to select the pattern you want to go to the chain. Pressing “NO” instead of BANK + TRIG will delete the selected or previous pattern, if none selected.
That’s the basic editing possibilities of a chain.
Anyhow, there is a much better way if you want something like song mode
Do use SONG MODE 
Safer, with more overview, less confusion and pressing 3-4 buttons at the same time with hands and feet 
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FUNC+SONG MODE gives you access to your chains as well of course. You can save then many chains in each row and also change them there with more ease. Also while playing and despite song mode being off. You can also have just one chain per song and save them separately named, if you like.
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CHAIN MODE is basically just a “row player/looper” in the matrix sense. If Song mode is off and chain mode is on, you can select and play any row (chain) looped forever and still work on it in this view.
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The coolest thing is if you access your chains through SONG MODE that you can even define and save mutes here as an additional feature. They also work in chain mode, if you set them here.
The different play modes only affect when exactly and for how long a pattern is replaced in the chain.