Scott,
First off, sure, go out and blow something up!
It will make you feel #:-) #:-)
But, a little trick that is getting better for me is to solder the PE rather than super glue it. The solder has a higher tinsel strength for the little amount of contact. Hence, you will get instant adheision for the chains.
Also, let me ask you, did you scratch the surface before you did the super glue? If you glued the PE with a coating on, this may also effect (in a very negative way) the adhiesion.
Later,
Dave