Problems with physx collison

[ZZpbt.]

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.

Not going to increase simulation time by 8 just because it didnt break in your test (stated clearly that this is just an example scene to show the issue, doesnt even matter if the chain breaks or not).
That is no solution. The problem is clearly the fractured/voronoid collider and not physx. Posted 2 pics where you can see, that physx isnt even activated. Didnt you take a look?
I am able to simulate 3k frames animation with heavy motion and no 1/8 necessary for chains to stay together. They only break because parts of the collider doing these unnecessary spikes that pierces through chain while trying to follow binded mesh...
Btw i too use 2 different meshes.