A Scene Setter can program chases (it calls these scenes for some reason). The difference is a chase is a series of steps/looks in a row that loop over and over again. A scene is simply one look. So basically, you can call a chase a series of scenes.
Now, the Scene Setter is mainly used for conventional lighting (lights that work off a dimmer pack like par cans) and can be used for LED lighting as well but isn't the best console in the world for it. Which fixtures are you using? Maybe you are using the wrong type of console for your situation and that is what is causing the headaches?