Why not just go to a locksmith and buy a high quality padlock for your existing chain? Then, send the "round key" padlock back to Kryptonite for a replacement.

If you are going to use a chain, a padlock, PLUS a U-lock, consider an OnGuard Brute. You can get one for around $50 or $55, and it is as strong, or stronger than any U-lock widely sold in the USA, including the Kryptonite New York Lock. But it is heavier than most bike frames...about five pounds of steel.