rightclicking any FX Chain in the list allows to insert a new one after it ("Insert FX Chain, LCTRL+T).
however, this is not true for the “None” entry.
now, since you can’t rearrange chains (soemthing which would be very handy and will be the subject of a specific request) and cannot use Send Meta-Device to send to chains which are “up” in the list, there is no way to send anything to the first created FX chain (“FX Chain 01”)
Seems right-clicking isn’t enabled for None, but if you left-click on None, then Ctrl+T or use the + button at the bottom you can insert a new set below it. Being able to re-order the sets would be a great idea as well.