Problems with physx collison

[d4rk3lf]

And no, this doesnt have to do with timestep, substeps etc.

Just loaded quickly the scene file you posted, changed timestep to 1/8, and the chain didn't break. 

Yeah, you're right, I should take more carful look (because you basically had already setup scene like I suggested), but I didn't had the time for careful look, but I just wanted to (quickly) help. 
In any way, I think we all sometimes expecting too much of PhysX (that is basically solver for games, and it works best only with convex shapes), and I don't think PhysX really like underlying vertex animations, and stuff like that.... unless you "help it" solve. 
That's why I almost always (for complex sims), create separate model for PhysX, and separate for render... Tymesher is also often handy for creating collision objects out of some very complex geometry.