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How to use proxychains with mullvad vpn

Suppose my Linux host already connected to some mullvad vpn server with the official gui app.

Now, it should be able to use some hostname e.g. fk-xyz-wg-socks5-001.relays.mullvad.net:1080 as a socks5 proxy.

But in proxychains you can only use numeric ip. So you can nslookup the above hostname and get something like 10.124.0.x or 10.124.1.x.

Now, suppose I put many of these ip into the proxylist

10.124.0.1

10.124.0.2

...

10.124.0.x

As long as the chain length is 1, the proxychains work fine (which is obvious). But when the length up to 2, it said "socket error or timeout".

So basically I have 3 noob questions.

(1) Is it possible to make above works? How? What should I change?

(2) Am I having some misconceptions about how socks5 works? Can you correct me?

(3) If this actually work, what benefits you can get from it. Or it just totally wastes of time and harm other normal users bandwidth.