You have a competitor that does it. How about you? I so much prefer BRU to their commercial offering, this was the only feature that made me drool.
I know one can save and load individual steps, but that isn't terribly elegant. You could even do something as simple as load filenames "1 This Chain", "2 This Chain", etc. sequentially to execute as they load, either automatically or step by step.
(Btw, love the interface, never change in a big way. Everything is where it ought to be, right there to be used. It didn't put me off from day one. No stupid menus to search through, it's just there.)