Well, a chase doesn't exist per say in MyDMX, but that's not to say you can't make them. You can do a "NEXT" sort of thing, or you can also certainly use the steps within a scene in orer to make more steps and hence a longer scene.
That is definately thinking outside the box.
If you have scenes you like and wish to string them together into one "monster scene", you can copy and past the steps, just make sure you place your selection at the END so your destination will be BELOW the last listed stop.
The thing is that there isn't a single right way. If it works, then it's the right way. For me, I'm making a monster hour long scene, which will repeat 4 times and that will be my rave scene. That is my objective for next weekend is to focus on that only and have it done. I'll incorporate rotating which of my high-tech FX will be on and then duty cycled, then add some things like some strobing, marching cans, washes and of course incorporating my movers. I have to make sure nothing stays on full time and that I stay within 40 amps of power for lighting.