Yes, you need to program scenes before you program chases.
Chases are dependent on scenes being created. You could make the chases without the scenes, but your chases are going to be really really BORING since there is nothing in the scenes.
The manual is excessively clear on this fact.
Since you do have the manual, this is some advise(besides reading it):
Sit down with the DMX Operator 192 with the manual open. Go over the scene programming stuff one step at a time with the manual, going over and over it until you feel comfortable with the whole programing thing. It's not confusing, but it takes extra practice. You might also want to download the manual and print out the pages that pertain to progamming to make those extra available. I say this because that is what I do with my DMX Operator(not 192). But I don't use my DMX Operator often these days since I'm using MyDMX as my controller.
Have fun and hope your retreat goes well. It sounds like you got a fun job!