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why do you have pulleys but not chains 

On the most recent builds you should find both belts and chains.  They are currently identical mechanically.

Where can you find belts?

In the Robot Workshop, look under the "Motion" tab -> Transmissions.  You should find a variety of options to play with.  

Once you place a pulley, select it and drag one of the arrows to pull out a belt or chain in that direction.  You can make belts and chain as long as you need, and adjust the gear ratio by changing the size of the pulleys/gears.