Thanks Michael for posting that pic from the web. You are a better web-searcher than I am, because I haven't been able to find many pics of chain or bar-shot.
Steve, I have also wondered that same question many times. It would seem the force of the blast would have broken these relatively delicate-looking chains. Perhaps the chains were wrapped in protective material that would come apart in flight? Or perhaps the charge used wasn't as powerful due to it being more of a close-range shot? I have heard that hot shot was fired using low charge so that the ball would embed into the decking and burn rather than shoot right through. Comments about this, anyone? Anyway,check out the following link about what I mentioned concerning the anti-personnel chain shot. Rather interesting, if ineffective