Already scratched my bike from taking spills as a beginning cyclist, so not worried about paint damage.

Just heard of a U-lock being cut in 2 min. by a bolt-cutter. But it's the 2 min. to cut vs. 30 sec. or less for a chain that is the reason people use U-locks. If both are used, that's more time required to cut than either option alone. I used to have one of those steering wheel locks in my car, so I understand the game of making the effort of stealing just inconvenient enough for a thief to pick another target. To add to the list of worries is another cyclist locking his/her bike to yours by accident with his/her U-lock/chain.

Sometimes though I want to ride my own bike somewhere, and lock it up so I can shop for groceries or just buy a cold drink on a hot day. Risk is a part of life.