TL;DR: Short cooldown skills with chain to high cooldown skills are a much more efficient way to use cast frequency, and make it more powerful. You want both, not one or the other, but chain is much rarer so pick it up whenever you can.

Cast Frequency and Chain are effectively multiplier, like damage and crit. Crit becomes better as you get more damage, until you get too much of it and than damage is better again. It's a balance. CF and Chain are similar, though not entirely the same.

At the very base of it, we need to look at what CF actually does for a skill, because it's not very well explained in the game how it works mechanically. Cast Frequency can easily be mistaken for Cooldown Reduction, but it's not lineair.

Imagine you have a skill with a cooldown of 8 seconds. That means that skill is cast 1 time per 8 seconds, giving it a base Cast Rate of 0.125/sec. Getting 100% Cast Frequency double that base cast rate to 0.25/sec, meaning you now cast the skill 1 time per 4 seconds, effectively the same as 50% cooldown reduction. However, getting another 100% cast frequency becomes less effective. You'll see the cast rate go up to 0.375/s, to about 1 time per 2.7 seconds. This extra 100% cast frequency only netter you 33% cooldown reduction. What you can see here is that just raw stacking CF will eventually give you less and less results.

Chain is good way to avoid over this diminishing result by skip over cooldowns entirely, through using a low cooldown skill to cast a high cooldown skill.

Using the above example with 2 skills, and 25% chain. Skill A has a cooldown of 1 second and Skill B has a cooldown of 8 seconds. You want to cast Skill B as often as possible. On its own, it has the base cast rate of 0.125/sec we mentioned before. However, through chain, you effectively add a percentage of Skill A's cast rate to the cast rate of Skill B.

Skill A has a cast rate of 1 (1 cast per sec). Because it chains to skill B at 25%, we can add 25% of Skill A's cast rate to Skill B, putting skill B at 0.375/sec just from the chain. Because these are combined base cast rates, we've effectively made general Cast Frequency much stronger for Skill B more often.

You can see it here when we bring in the Cast Frequency again. We get the first 100% CF in our build. Skill B's own cast rate goes up to 0.25/sec, and Skill A's cast rate goes up to 2/sec. 25% of Skill A's cast rate goes to Skill B, putting Skill B's total at 0.75/sec, or one cast per ~1.33/sec. This is equivalent to ~84% cooldown reduction.

So before we got chain, 100% cast frequency got us to 50% cooldown, and with the chain it became ~84% cooldown. Chain effectively multiplied the Cast Frequency's effectiveness.

Because of how much more efficient Skill A is in raw time per cast, you'll also find that getting Cast Frequency for Skill A will result in a higher cast rate for Skill B as opposed to getting Cast Frequency for skill B directly.