Early in chapter 1 I encountered a yellow chain linking two enemies together. Other enemies I've fought didn't have this chain. What does a yellow chain linking two enemies mean?
By looking at the screenshot, it's not two enemies that are linked together, it's Lanz and an Agnian soldier.
If you look at the character HUD to the top left, you'll notice a red symbol next to Lanz name. The red symbol indicates your unit has a debuff (respectively, the blue symbol is a buff). Based on the debuff symbol and the yellow chain, Lanz is inflicted with Target Lock, which “Locks character to attack a certain enemy. You can’t hit anyone else during it."Source
Below is the combat tips regarding debuffs, and the in-game description of Target Lock