Is this known yet? You can jump with Sheik on Battlefield onto a platform (full hop). Then use the chain. It won't do an aerial chain, it will do a grounded chain instead. In other words, you can cancel the aerial chain into a grounded chain.
If you can do it on Battlefield, you should theoretically be able to do it elsewhere too if your timing is right, correct?
On a side note, I find the chain hilarious and, while it's never to be used in a serious match, it's great fun to use it if even to throw your opponent off. Short of messing with Ganon/Falcon/Falco/Fox as they attempt to recover, are there any other potential uses for it?