Does Shen break the spell chain when played as a reaction, and does he enter the battlefield immediately?

Ruling: When you play Shen (or any permanent) as a reaction on the chain, it leaves the chain immediately and enters play. You do not automatically pass priority after playing something on the chain.

Sequence:

• You can play Shen as a reaction before your last unit is removed
• Shen leaves the chain immediately as a permanent
• Shen enters the battlefield
• You retain priority and can play multiple things on the chain
• You then choose when to pass priority to your opponent

Nuances:

• If you lose your last unit at a battlefield, you no longer control it, but your opponent won't control it until the end of showdown (nobody controls it during showdown in this case)
• Playing something on the chain does not automatically pass priority - you hold priority until you choose to pass it