I used today Action Jump to a Chain. I had to put an second Return just beneath the Jump line to not process also the rest of the lines, when the custom Chain was filtered.
Feature request is like as in Connection Marking an Router Marking, to add a box in Action to stop processing of the rest of the filter lines. You can then tick the box Passthrough and processing is ready for that whole page if filtering of the lines below the jump is not necessary.