The whole idea of CHAIN back in DOS days was to switch between to executables seamlessly, hence the termination of the first .EXE so that the user will continue with only one program in memory.
Keep in mind that QB64 does all it can to emulate the original functionality of CHAIN (including the hack of transfering variables through a disk file, since memory isn't shared) so that older programs can be run as they used to originally without much trouble. However, there aren't module size limitations in Qb64 and if you're writing a new project, you should be able to have all the code in a single module, elliminating the need for CHAIN altogether.
If you feel you should break a bigger project into smaller parts, consider making $INCLUDE files, that are more manageable, but will generate a single EXE in the end.