I agree it would be nice in many cases, but for the case you show (and also many other cases) a simple right-to-left window select would suffice.
Yes, there are times that it would be handy. I think that I would probably want to be able to toggle the ability off or on, as many times I would only want to chain the "normal" pieces, not the construction bits.
Put in an enhancement request.
Vote on this ER:
SPR 149054: 'RMB > Select Chain' does not work for construction geometry in sketch.