Ah, yes. Twisted's Deferreds do support that kind of chaining, but I didn't use it in my original snippet because I didn't want to have an example of a Deferred where no Deferreds were actually visible. :)
In my own code, I tend not to use chaining because "methods returning self" is not a common idiom in Python (although tools like jQuery have given it currency in the JS world) and because I haven't yet figured out a way of formatting a multi-line method invocation that doesn't look messy.