Eh. There's readability arguments to be made in both directions -- there's such a thing as trying to put too much into a single line.
But honestly, I suspect here it's for historical reasons: pervasive "chaining" behavior hadn't really become popular or well-known when e.g. Swing was being developed. You could argue that it should've been added in later on, but things like that tend to create binary incompatibilities and other issues that Sun/Oracle have historically been extremely cautious about.
More recent JDK libraries -- see e.g. ByteBuffer
for a major, well-known example -- have provided chaining behavior and the like, where it makes sense.
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