Sketching walls (or lines) every so often you want to sketch several sequentially and that is where the Chain option comes in.
No surprises there really, expected actually. The thing I find to be subtle and elegant is that when I sketch a wall that touches another the command ends there. It doesn't try to continue sketching another segment from that intersection. It just makes sense to me. It is one of those things that you don't necessarily notice because it just happens and you can take it for granted.
Subtle and elegant, NICE!