I can see some objections to this proposal (about automatically changing the duplicate target, if the chosen question is already closed a duplicate).
Choosing the direction of duplicate is often a matter of discussion and not everybody agrees which direction should be chosen (or even whether a question should be closed as duplicate). And even if the questions are closed as duplicates that does not mean that those questions (or even their answers) are exactly the same. So by choosing one of several possible duplicate targets I have a possibility to show which of several related posts available on the site is, in my opinion, most useful for the OP. (In fact, I consider the possibility to have multiple duplicate targets for the same question to be a rather useful feature - even though it can be used mainly by moderators and the users with dupehammer.)
There are also some possible technical difficulties (and situations where it is unclear how the proposed change would actually work): For example, let us say that Question A is closed as a duplicate of Question B. At the same time, Question B is already closed as a duplicate of Question C. The proposal in this feature request says that Question A should be closed as a duplicate of Question C instead. But we should keep in mind that status of closed as a duplicate can change at any time - the question can be reopened, the duplicate target or the direction can be changed. What exactly should happen, for example, if Question B gets reopened. Should the software somehow change the duplicate target back to Question B. (To do this, we need somehow to remember which question is the "first" duplicate in the chain of duplicates that leads eventually to Question C.)