First, let's be clear: daisy chains are for aid climbing, not for use as part of your personal anchor system. Don’t know how to properly anchor yourself using the rope? Don't know how to thread sport anchors without using a daisy chain? Get some instruction from a professional guide before you get yourself hurt.
Second, and regarding this video, if you incorrectly clip in short to a daisy while aid climbing, it can be potentially bad. Very bad. The thing to remember when clipping in short using a daisy is to use a SECOND carabiner to shorten it up, thus avoiding the potential loading scenario above. Click here to read Black Diamond's full QC Lab report on daisy chain dangers.