Convert Entities Select Chain not working with sketches

Hey all,

I know there are a couple of threads related to this issue and most are solved by saying you cannot chain an edge, but im trying to chain a sketch entity. which if im not mistaken is the function of the select chain check box in convert entities. Check out the pic below to see what my problem is. I will select the chain box and try to chain the sketch entities and it will say chain in the box but only one entity is converted. Are there any options or something I am missing here?

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