When you setblock a commandblock in Always Active mode before a chain of chain command blocks, the chains command blocks active... But not the 1st command block.

Exemple :
A chain command block in Always Active mode with the command /say 1. Setblock a command_block in Always Active mode with the command /say 0 pointing to the chain_command_block next to it.

What I was expecting to happen : "Block placed"
"[@] 0"
"[@] 1"
What really happened : "Block placed"
"[@] 1"
(see the screenshots).

Another exemple : just use this command in a command block, then power it :

summon FallingSand ~ ~1 ~1 {Block:command_block,Time:1,TileEntityData:{auto:1,Command:say 0},Riding:{id:FallingSand,Time:1,Block:chain_command_block,TileEntityData:{auto:1,Command:say 1}}}

I was expecting for the chat to say [@] 0 then [@] 1, but it said [@] 1 only.