That may actually be a bug / untested feature? I see the only test we have is for a single chain: pymc/tests/smc/test_smc.py at 6761c0c73ba07cc9dc51ec3adab7f1aa5f76b23d · pymc-devs/pymc · GitHub
Do you mind opening an issue to check if this is behaving as expected and/or update the docs in our github repository?