I did a little testing while investigating a related, but different, problem. Chaining in BPP may not be explicitly supported, but bits and pieces of it actually work, which produces some strange behavior.
Clicking the "next" icon or using the keyboard arrows, you get no chaining across directories. But if you click on the image on the last slide page in the first directory, it actually does take you to the first slide page of the next directory. No way to get back, of course, other than to go "up and over" again.
And when you're on the last slide page in the first directory, the "next" icon isn't grayed out - it doesn't go anywhere, but it's blue. There's some similarly odd behavior of the icons when you're in the second (last) directory, as well, including some unexpected "cycling."
In short, don't use chained directories until ctwist has had a chance to tinker with it!